It can make a huge difference depending on your setup.
Yamadash wrote:"use unlimited and pay the extra power bill."
I don't really think it makes that much of a difference.
I ran some tests when I built this PC and from what I've measured at the wall socket, unlimited (gameplay) uses 60% more power than 120fps capped. We're talking about a measly single HD6870 here, that figure is guaranteed to change if you have more "beastly" setup.
The result is up for interpretation depending on your view on sustainability issues though...