Okay, I apologize in advance sorry for the long rant but here we go:
Yeah, yeah yeah, I understand that there are electronics behind ESP that need to be powered and that ultimately all power in a car comes from fuel (I have a degree in electronics, and I'm not stupid), but come on... This sort of electronics uses very little power and you would have a very hard time to measure any difference in fuel consumption.
Next to the engine the largest power consumption in any car comes from aircon and headlights. The rest is peanuts. Remember the TG episode where Jeremy Clarkson drives the A8 to Scotland and back on one tank of fuel? He switches off things like aircon but specifically mentions that switching off the radio would make no difference since it uses so little power. Now I could be wrong, but I expect the controller boxes for stuff like ESP to use less power (a lot less!) than the radio.
Suppose, worse case scenario, the power consumptions of all electronics in a car put together is 100 watts (which I assure you is not even close, it'll be closer to 10 or 20 watts). My 2.0FSI produces 115KW. The consumption of the electronics would then be 0.09% of the total power. That would be compared to the engine under full load, so for the sake of argument I'll multiply by 10: It is still only 0.9%. Put your foot down once and you've used way more fuel than all electronics put together.
Having said all this I would like to make one exception: High end, show worthy ,audio installations. They can be a few K Watt (when cranked up all the way). So if you have such an installation and drive from London to Glasgow and back with the radio at full volume, blasting two thousand watts of death metal directly at your eardrums, you may find a slight increase in fuel consumption. But then, with your ears ruined and a terminal case of tinnitus, the tiny increase in fuel consumption would be the least of your problems.