You never have to close down your work, and you only have to wait a couple of seconds after getting to the computer before you can start working again.
Sleep mode makes me nervous - we get a lot of storms around here and I am nervous leaving it on and plugged in all the time.
I never use a computer without an uninterruptible power supply. They're cheap these days, decent ones that can power an iMac going for under $50. The Mac sleep is a combination of the Windows sleep and hibernate. It can write your RAM to disk, but leave the RAM powered for quick wake-up. If power goes out you'll resume from disk instead of from memory. But even a relatively small UPS can supply a sleeping iMac with power for a long time.
I do have a UPS. Compared to the Windows machine I have my Mac Mini takes no time at all to boot. It never ceases to amaze me!