I've been running a little experiment for a few weeks regarding how fast the various engines find new pages deep in a site and whether or not those pages being in a sitemap actually effect how fast they are picked up. Having just added the SIgN wave Pad Holder this afternoon and Click Pad Holder about an hour ago I'm hoping to have some hard data in the next few days. Right now to my surprise Live seems best at sniffing out pages albeit it slower. Yahoo is usually lost, G is fine most of the time but as always is a bit quirky. So far it doesn't seem that having a sitemap has mattered significantly so long as pages are well linked to other known pages on the site. I have some other insights I hope to be able to add regarding the change frequency and whether or not that matters (seems to have a huge effect on the priority).
It's interesting to know Live outdid G. I Updated my blogs a weeks after pages in my sitemap had been indexed by google but when I googled my site the new posts were not showing. So I had to resubmit a sitemap and thankfully, google index is more comprehensive now as it has now included my recent posts except the latest ones.