Normal, especially if you're idling. At idle the output from the alternator is pretty low, especially if you still have the original 60/70A alternator. With the lights on, blower motor running, and then engaging the switch for the windows, you pretty well exceed what it can put out. The dimming shouldn't be a drastic dim, but will be noticeable. If you're getting a big dimming, probably time for a new voltage regulator. Check your idle speed as well, if it's low, it will exacerbate the problem due to even lower output from the alternator.

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Current stable:
1995 E320 157K (Nancy)
1983 500SL 125K (SLoL)

Gone but not forgotten:
1986 300SDL (RIP)
1991 350SD
1991 560SEL
1990 560SEL
1986 500SEL Euro (Rusted to nothing at 47K!)

Gone and wanting to forget:
1985 524TD 167K (TotalDumpster™) [Definitely NOT a Benz]