Voltage drop on transformer's secondary winding experiment
Lets consider the possible likelihoods :

1- The first part of your experiment is acceptable . The resistor draws current from secondary winding and causes voltage drop across the inherent resistance of the winding . By adding resistors in parallel the current increases and consequently you observe more voltage drop . 

2- For the second case , in normal cases by connecting an inductor to the output of winding , you should notice a voltage drop . The higher amount of inductor will cause the lower amount of current and thus the lower voltage drop . What you have seen in your experiment is doubtful and doesn't match the principles . Maybe your inductors are damaged and there is no current flowing through them . Or maybe your inductors have high resistance and you need more inductors to be paralleled . You can test your inductors beforehand by a digital multimiter .

3- When you connect capacitor to the secondary winding , there should be a current flowing through it . The higher amount of capacitance will cause a higher amount of current . But its doubtful in your experiment . Maybe your capacitors are very small in amount . Or damaged ones .

When you connect resistor to an AC voltage , the voltage drop is correspond to the level of current , whereas when you connect inductor or capacitor , the voltage drop will not be proportional to current level . However this will not affect the results of your test.