Yes, the electrical power in your car comes from an alternator, the more load you put on the harder the alternator is to turn so the greater the engine power required. You can prove this by looking at thr rev counter and turning on an electrical item such as heated rear window or headlights, the revs will drop slightly as the load on the alternator increases and then return to normal as the engine managment pumps in more fuel to compensate :-)
Sorry PhilLew but I can't agree with your answer. The alternator is permenently engaged with the engine - it doesn't physically switch in proportionate to the load. Therefore drawing more current can not place it or the engine under greater physical load. If you have seen the revs drop after turning on an electrical item then this suggests your cars electrical system is not up to the job and therefore the ignition system is being affected which could affect consumption.
Something like air conditioning will directly affect petrol consumption as there is a physical pump being engaged.