It causes more work, but the amount is so small that it is not significant to slow down your laptop.
Let's see some examples:
A USB or PS/2 Mouse
The mouse is being polled at a constant rate to determine whether it has moved or clicked, these polls don't take much CPU cycles so you will not notice any difference by connecting a mouse to your computer.
An external monitor
By connecting an external monitor, either Analog or Digital; your Graphics Card needs to render the Desktop of that second screen too. As this is done by your Graphics card which sure has resources free, your CPU won't be affected much.
An internet line
Your network card drivers would have to handle some incoming packets, but we're talking about headers of some amount of bytes here; it won't be enough to bog down your computer unless you are experiencing a DDoS. And even then, you probably wouldn't notice much except for the internet to be slown down to a crawl.
Audio is just re-routed, there is barely a difference.
How can you verify this? With a tool like XPerf which allows you to see driver DPCs and Interrupts.
Look at the amount of detail it allows you to see. In the picture below, the video card uses quite a lot (for DWM, not for an extra external monitor). But as you can see most of the things shown have an negligible amount of CPU used. There is no significant slowness shown here apart from DWM...