The most popular method for powering a communicating light switch is to allow a small trickle of electricity to flow through the load (or to neutral) when the light is off, .5 to 1.5 Watts is typical, some of the most popular devices from Lutron consume under .2W. There is even a technology from EnOcean that harvests the mechanical energy used to turn on the switch (piezoelectric) to power the communications. On the other hand, most of these devices are dimmers, which allow less electricity to be sent to the lamp when dimmed, statistically, the average is 20% less.
Some devices require a Hub, some communicate directly to your mobile device, some even use a device you already own as a hub (ie. AppleTV).