This paper provides a review on emerging developments and challenges for provision of ancillary services by means of distributed generation, electrical and non-electrical demand side response and storage in the context of multi-energy conversion systems. To illustrate the value of demand side response as part of multi-energy sector coupling, a case study is built upon a three-area system, which includes conventional and renewable power plants as well as power to gas conversion system with electrolysers. Computer based simulations are performed by using PowerFactory platform to investigate the impact of the response of the electrolysers on power system operation. The results show that positive impacts on steady state and dynamic performances can be achieved by contributing to reduce the system stress. The extent of the contribution depends on the location, activation time, rating, and size of demand side associated to the electrolyser.