To explain this one you need to have a half arsed understanding of the properties of an electrical generator or in this case the alternator, which given 10 years working in electrical engineering I do.
when you turn the rotor in something like an alternator with out it being connected the only resistance is the mechanical parts the bearings and brushes as there isn't actually anything else stopping it from spinning.
when you connect a load to the alternator this changes because you introduce the one thing that makes the alternator more than a lump of spinning metal which is magnetism
alternator 101: permanent magnets in the body of the alternator excite the electrons in the copper coils of the armature (the spinning bit) which want to go some where. ignoring the rules of how things explode if you connect a piece of wire between the terminals of the alternator the electrons will go around the circuit happily (with out exploding in this case but in the real world things tend to melt)
introduce your cars electrical system which to the alternator is a 'Load' or a resistance against electrical push. (sorry if I'm being really condescending) in electronics load is measured in Ohms and for this example we shall say the car exerts a load of 10 ohms
to pass through this 10 ohm load the electrons need more push behind them, which in effect creates a magnetic field called 'Back Electromotive Force' (EMF) in the armature of the alternator and which in turn starts to act against the permanent magnets in the body (like pushing the North poles of two magnets together in school science class) this makes it harder to turn which means the engine has to put more work in to turn it.
increase the load to say 100 ohms and the alternator becomes 10 times harder to turn (this is in the most basic sense i didn't bother with the really complicated maths)
Each electrical item in your car represents a load on the alternator, including the battery. Each headlight bulb at 55 watts is worth about 2.6 ohms or 5.2 ohms a pair plus all your side lights tail lights etc all add up to lots of resistance against your alternators electrical push creating more back EMF and requiring more effort from the engine. and of course the engine gets its power from the chemical energy of the fuel.
this has been used in the past to create braking systems in things like Trams, Trains even some Busses, as you switch in higher and higher loads the Back EMF can be so strong it can stop a bus or maintain it at a certain speed down a steep hill without having to use the normal brakes.
That concludes this lesson, I hope its not been too boring for you, oooh i forgot to mention the Car's ECU is programmed to maintain the engine revs at a set level which is why you see no change in the idle speed it just dumps a bit more fuel air mix into the cylinders for a more powerful bang to keep the revs up, if you are rolling down a hill with the clutch up and a gear engaged a modern car ECU will often stop the fuel completely until its is next needed
