As Howard pointed out, it's simple conservation of energy. Every single watt of energy used by the lights is eventually turned to heat. Of course, if the light shines out the window, that energy is lost (then again, during the daytime, the sunlight is going to add more heat than you lose via this process.)
Coffee-maker: it wouldn't reduce the amount of heat by as much as people might think it would. When it's brewing, it's probably operating at about 1500-1800 watts. (edit: and it's only brewing for a few minutes at a time.) However, most of that heat goes into the liquid. While a pot is just sitting there, being kept warm, however many watts are in the warming plate (I'm guessing 2 or 3 hundred watts; wild guess though) are being disipated.
For what it's worth, there are some programs with various energy companies where your company may be selected to voluntarily reduce energy consumption by as much as possible for an hour or so. I'm not sure of the details, but you get about 24 hours advanced notice, and it's supposed to be practice in case there ever have to be rolling brown-outs or something like that. In such instances, cutting back by quite a bit over the course of an hour can lead to some nice kick-backs from the energy company.
Oh, and just for the sake of comparison, I'm in a classroom right now with 27 fluorescent lights at 40 watts each. Not including the energy disipated by the ballasts (which are wired up really screwy, hence the odd number) that's 1080 watts; about the equivalent of me leaving a blow dryer on low/med setting running all day (at ceiling level, since some heat is radiated through the ceiling to the floor above.) Since I don't have air conditioning, the difference is quite noticeable by 3pm. If I leave my shades most of the way down, providing just enough light, and turn the lights off, my room is about 10 degrees cooler at the end of the day than an adjacent room that leaves the lights on, shades up, and windows open.
