Wearable sensory devices are becoming the enabling technology for many applications in healthcare and well-being, where computational elements are tightly coupled with the human body to monitor specific events about their subjects. Classification algorithms are the most commonly used machine learning modules that detect events of interest in these systems. The use of accurate and resource-efficient classification algorithms is of key importance because wearable nodes operate on limited resources on one hand and intend to recognize critical events (e.g., falls) on the other hand. These algorithms are used to map statistical features extracted from physiological signals onto different states such as health status of a patient or type of activity performed by a subject. Conventionally selected features may lead to rapid battery depletion, mainly due to the absence of computing complexity criterion while selecting prominent features. In this paper, we introduce the notion of power-aware feature selection, which aims at minimizing energy consumption of the data processing for classification applications such as action recognition. Our approach takes into consideration the energy cost of individual features that are calculated in real-time. A graph model is introduced to represent correlation and computing complexity of the features. The problem is formulated using integer programming and a greedy approximation is presented to select the features in a power-efficient manner. Experimental results on thirty channels of activity data collected from real subjects demonstrate that our approach can significantly reduce energy consumption of the computing module, resulting in more than 30 percent energy savings while achieving 96.7 percent classification accuracy.