I did a bit more thinking on this and wrote an article. I've changed my mind partly. I was saying it was definitely NL that had higher variance, but now I think it depends on what the measure is, BB/100 or $/100. The latter, at particular limits will yield lower variance at NL than at limit.

Interested parties can read my conclusions and reasoning here:
http://pokerworks.com/article-778.html

Many thanks to all who shared their thoughts. I think I have a much better handle on this stuff as a result.