RAM must continue to be powered. Your network card as well, for remote wake up on network activity. Bluetooth can also be configured similarly. On older computers with HDDs, it is also configurable whether those HDDs are turned off when the lid is closed.

Of course this is just assuming you keep the default of closing the lid => computer goes to sleep. It is possible for some Macs to keep running while the lid is closed, so basically only the display is not powered. It is also possible for some Macs since Mavericks to actually have most of the kernel running to perform background tasks, called Power Nap.

Closed-display mode: https://support.apple.com/en-us/HT201834

Power Nap: https://support.apple.com/en-us/HT204032

Yes, lots. https://support.apple.com/en-gb/HT204032

There is. For example you can leave your phone plugged in and it will continue charging on a macbook, even with the lid down and machine turned off.

Macbooks can't even hibernate to a complete shutdown. If you remove the battery, you can't cut out the power supply without the laptop rebooting. I.e. the ‘sleep‘ has the hardware running, waiting to pick up where the system left off.