Light load efficiency of DC-DC Switching converters
What is it that I don't understand is that how the efficiency is very
  less at light loads?


It's like a car sat at traffic lights - you are not moving hence the fuel consumption in miles per gallon are zero or, power out over power in is zero or, zero efficiency.

A DC/DC converter always wastes a few milliwatts of power in just doing nothing except providing a fixed voltage at the output. If there is no current supplied to a load then the power output is zero and the power efficiency has to be zero.


  How does the switching and the output get affected?


To minimize power losses, some switching converters enter a special mode known as burst mode and the output switching is very infrequent leading to reduced power losses. The (near) equivalent for a car sat at traffic lights is turning the engine off then restarting the engine as the lights turn green.