I create a 5.2 and 6.x patch for measuring how much memory a module takes, and also how much the whole Drupal page load takes.
The results are published here: Measuring memory consumption by Drupal bootstrap and modules.
Short version: in Drupal 6, modules are better off than in 5.2, but the bootstrap is a tad larger.
If anyone is interested in replicating the results with more realistic install profiles, please do so and publish your results/findings/recommendations.
Also, I am looking for opinions on incorporating this memory measurement in core and devel modules. If you think this is a good idea, please say so.