How much Power do speakers really use ???????

It's the usual "it depend" answer. It depends on how loud it is playing, how efficient the speaker is, how dynamic the music is - especially the bass dynamic content. Also other factors. For many people, there is a listening level that is comfortable, that generally would likely only use a few watts nominally, and peak at some higher values.

On my particular system, I generally listen at about one-tenth of a watt, and peak around 2 watts.

Maybe Sean could give a more standard answer to the original poster. To indicate that TWL's experience is representative of what is normally encountered in the field is much like saying that a human can survive on five stalks of celery a day, fifty when he is doing physical work. You will not be building a railway on such a diet. While very true that background listening levels require a tiny amount of power, anything resembling reality requires substantially more. Now if you appreciate that music is dynamic in its nature, not clipping peaks requires multiples of what is required for the average level, in the order certainly of ten and sometimes way more. So the "depends" answer given by TWL is somewhat disingenuous in the normal scheme of things. Issues of speaker efficiency, room size, normal listening volume, type of music being reproduced are all pertinent. The one point to realise is that an amp when pushed will produce much greater distortion than when used within its capacity. How it reacts when pushed is another sub-topic here: some are more graceful than others in how they clip. More power is never a bad thing. Too much may be wasteful of resources. Now let the debate of the "good watt/bad watt" brigade begin.

At modest levels, you will only average a few watts. However, those peaks can get up there. If you crank the volume a little and average maybe 10-15 watts(or are using inefficient speakers), the peaks are in the 200+ range. If the amp can't deliver that, then it clips, which compresses the music. This is the primary reason for a big amp, to reproduce high level peaks cleanly, not so much for the steady state power.
As for the big power supplies, etc., it takes a large current supply to allow sustained low bass notes to be reproduced cleanly. Larger caps provide storage for the power supply to draw upon during heavy demands. If you listen at low levels, then this would be a moot point.
Since transformers are rated in VA (voltamps) which is actually watts (volts x amps) it is easy to see how a larger VA transformer can benefit heavy bass loads(since that is where most of the power is used.) The filters (power supply caps) help eliminate ripple (AC that slips through the diode bridge) but also store electrical energy, Try discharging one of those large 40,000uf caps by shorting the terminal to ground after the power has been off a while!
Unless your amp has some sort of mute circuit, the larger the power supply, the longer the amp will play after the power is off. This will attest to a big power supply.
This is a simplistic explanation but I hope you get the picture.
Power supplies have regulation which can be loose or tight. Tight power supplies have low headroom values where loose power supplies can supply substantial peaks. Most amps use loosely regulated power supplies. What this means is, how much current the supply can sustain before it runs out of juice or can it supply demand on a instant basis only.
This translates into amps that can supply higher wattage for a brief moment(peak) but can't sustain steady power. A good example of this is NAD which might rate an amp at 40 watts continuous but can deliver momentary power output of maybe 3 times that. It makes a cheaper amp sound more powerful than it really is.