Many wearable embedded systems benefit from classification algorithms where statistical features extracted from physiological signals are mapped onto different user's states such as health status of a patient or type of activity performed by a subject. Conventionally selected features lead to rapid battery depletion in these battery-operated systems, 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 minimizes energy consumption of the signal processing for classification applications. Our approach takes into consideration the energy cost of individual features that are calculated in real-time. 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 demonstrate that our approach can significantly reduce energy consumption of the computing module resulting in more than 30$% energy savings while achieving 96.7% classification accuracy.