I'm pretty sure even the speedometer is mechanical since it doesn't drop when you turn the car off. The speed sensor on our cars is really only used by the ECU for fueling purposes and/or abs. So, I'd imagine that it turns off for that second or so when you key off. Just another reason to get a engine kill switch that kills fuel injector signal when you're in there wiring up the mpguino.
Electronics all stay on the whole time then.