It depends on the type of system you are looking at;
In a small netbook the main power draw is likley to be the display or hard drive as they have very low powered CPUs and integrated graphics.
In a large gaming PC main power draw is going to be the graphics cards and the CPU and in comparison the HDD and RAM would have relatively low power consumption.
Things that will never draw a lot of power are things like wi-fi cards, bluetooth, USB peripherals and integrated speakers.
Also it depends on what kind of task the PC is doing, when most components are idle they use less power. If you are gaming, most of the components in the PC will be running full power. But if you are just re-encoding a video, it will be primarily the CPU doing the work and most other components will be idle therfore using little power, so the CPU would be the most power hungry.
A very rough rule of thumb, the more cooling that component has, the more electricity it draws. That electrical energy it draws, must go somewhere (1st law of thermodynamics), except the WiFi, most of that energy is dissipated as heat in the case. – Aron – 2015-12-14T05:28:46.177
1Actually hard drives only suck down about 10-15W. After they've spun up, it takes very little power to keep them chugging along. – MDMarra – 2010-01-10T15:46:15.560