Some do, others don't. For example, a lamp uses a simple On-Off switch. When it's off, electricity has been disconnected from the lamp, so none at all is used.
Appliances may use some electricity. For example, your stove may be turned off, but it still has a clock or perhaps an LED display that's still running. Anything that uses a remote control to turn it on or off DOES use a slight amount of electricity. The low cost of leaving it plugged in, but not running, is very tiny. A TV that's never used all month, but still plugged in, will probably use about 10 cents in extra electric cost.
People have asked about cell phone chargers being plugged in but not charging any phones. Theoretically, they use no electricity when not charging phones, but in real life, they probably eat up maybe an extra 1 cent per YEAR in electric cost, if that.