This paper evaluates the energy consumption of three key exchange protocols Rich Uncle, (EC)DH-(EC)DSA and Kerberos. To realistically compare the energy consumption, the protocols are implemented in TinyOS on the MICAz platform and simulated using the Avrora+ simulator. The key exchange protocols are evaluated in combination with four common duty-cycling MAC protocols. We show, that the Kerberos protocol is the key exchange protocol with the least overall energy consumption per key exchange, mostly due to the extremely cheap cryptographic operations. When compared with the ECDH-ECDSA key exchange protocol, this outweighs the additional message overhead needed for communication with the trusted third party in Kerberos. Rich Uncle fails to beat ECDH-ECDSA, even after off-loading the more expensive cryptographic operations to the Rich Uncle super nodes. Furthermore, we show that there are cross-layer effects caused by the MAC protocols that highly influence the overall energy consumption of the key exchange protocols.