Think of a battery as a pump for a fluid of electrical charge. It generates a difference in pressure from one side to the other (the voltage), and in doing so, the electrical charge is made to move through the pump and the circuit connected to it.
Let's think of resistors instead of LEDs. A resistor is like a hose. Current can pass through it, but friction causes the pressure on one side of the hose to be higher than the other. A high-valued resistor is like a small hose with a lot of friction. A low-valued resistor is a large hose with less friction. A wire is a hose that's so big that the friction is negligible.
If you connect three hoses or resistors in series, their resistances add, and they provide more resistance as a unit to the current than one would alone. Although the pressure the pump is generating hasn't changed, less current will flow. If the hoses or resistors are identical, the resistance will be three times as much as just one.
If you connect three hoses in parallel, this is like connecting one bigger hose instead. The pressure generated by the pump still hasn't changed, but now more current can flow. The resistance will be one third that of one hose or resistor, if they are identical.
Another way to think about it: all of the current for each of the three identical parallel hoses must come from, and return to the pump. Each hose still sees the same pressure as it would see if there were only one hose, so the same current will flow in that hose. But, the current in the pump must be three times what it would be with one hose, because there's no other place for the current to go. In electrical systems, this is formally explained by Kirchoff's laws.
This drains the battery faster because power, the rate of energy conversion (electrical energy is converted to heat in a resistor), is current times voltage:
\$ P = I E \$
If voltage is in volts and current in amperes, then power is in watts. Mechanical systems have power also in watts. For example, power equals force times velocity:
\$ P = F v \$
You can push something just a little but really fast (say, lifting a tennis ball), or push something really hard but very slowly (lifting a car with a jack) but the power can be the same. Of course, lifting a car takes more energy than lifting a tennis ball, and this is why it takes longer to lift a car: at low power, it takes longer to accumulate enough energy conversion (chemical energy from food to gravitational potential energy) to lift the car.
So, for something like a battery, where the voltage (electromotive force) remains roughly constant, the rate at which it is drained is proportional to the current. Power is the rate the battery converts its chemical energy to electrical energy.
To apply this to LEDs, consider an LED as a check valve. It's a diode, and it limits current flow to only one direction. It takes some amount of pressure to open the valve (the forward voltage drop), but beyond that, more current can flow without significantly more pressure being lost over the check valve. This is why an LED needs some device (often a series resistor) to limit the current: if the battery voltage is more than the forward voltage of the diode, then a ton of current can flow, probably more than the diode is designed to handle, and it will break.