Can't speak to power consumption, but I love Brother B&W lasers. Compact, inexpensive, toners last long and don't cost a fortune, toner-save mode makes it even better, and they're tanks.

I can't speak specifically to Airport Express - but I have an APE I use with an HP inkjet, and AFAIK pretty much any USB-enabled printer will worth with APE (the HP driver is just the standard one, nothing special for APE or wireless).