Power to a Point
Every component in a PC uses some amount of power. Some, however, use significantly more than others. A typical mechanical hard drive, for example, will use between 5 and 10 watts of power. A video card, on the other hand, might use 50 watts even at idle. This means that when building a low power HTPC it is best to focus on the areas where the most power savings can be had. The two primary areas are the processor and the video card.
The relative power usage of a processor can be determined at a glance by looking at the advertised TDP of a processor as measured in watts. The lower, the better. For a low-power HTPC, you'll probably want a processor with a 45 watt TDP or lower. This excludes the most powerful parts, but the processors which fit into this power envelope are more than adequate. If you wish to have extremely low power consumption, you could build your HTPC around a dual core Atom processor. Performance will suffer, however.
Video cards don't provide any easy indicator of their power consumption, so choosing the right one can be difficult. Generally speaking, however, you'll simply want to choose the best small video card available. Absolutely avoid video cards meant for gaming, as they are by far the most power hungry. My personal favorite is the Radeon 4350, as it is small, inexpensive, and very easy on power draw. Also make sure the video card has an HDMI output for easy connection to an HDTV.