A load control system for a building having a lighting load, a window, and a heating and cooling system comprises a lighting control device for controlling the amount of power delivered to the lighting load, a daylight control device, such as a motorized window treatment, for adjusting the amount of natural light to be admitted through a window, and a temperature control device for controlling a setpoint temperature of the heating and cooling system to thus control a present temperature in the building. The load control system may also comprise a controllable electrical receptacle for turning on and off a plug-in electrical load connected thereto. The lighting control device, the daylight control device, the temperature control device, and the controllable receptacle are controlled so as to decrease a total power consumption of the load control system in response to a received demand response command.