There are a variety of flexible energy demand loads in modern buildings. In particular, heating, ventilation and air conditioning (HVAC) system accounts for around 50% of buildings' total energy consumption and is a major source for energy scheduling flexibility. Electric vehicle (EV) charging is an emerging load in many buildings, and may also provides scheduling flexibility depending on the charging requirements. In addition, the usage of energy storage systems such as batteries further increases the flexibility in scheduling building energy demands. At the power grid level, it is important to leverage such flexibility for improving energy efficiency. To this end, we have proposed a proactive demand response scheme that enables building customers to actively participate in the electricity market clearing process. Compared to the conventional passive demand response strategy, the proactive scheme is shown to be more effective to take advantage of buildings' flexible load demand and enhance the energy efficiency of the overall power system. In this paper, the scheduling of various flexible building energy loads such as HVAC control and EV charging, as well as the usage of battery storage system, are jointly modeled and optimized in the proactive demand participation framework. We conduct experiments on the IEEE 5-bus system to evaluate the impact of heterogeneous flexible loads on the energy efficiency of the proactive scheme.