Well, it really depends on how much of a load it puts on the system, what the alternator is rated for, and how often you use it.

Now, I agree with Swifster that if there is too much current draw in a given circuit, it should blow the fuse; but, say for example it runs to 95% of the max draw on the circuit and you operate it for a given period of time. The fuse may never blow but it could indeed damage your alternator, by (believe it or not) damaging the electro-mechanical components of the alternator.

Think of it like this, any time you draw current from an alternator, you are creating a larger electro-magnetic resistance to the spin of the alternator's guts (thats a technical term there ). This is why when you kick on the heater and the radio at idle for example, your engine rpms drop a little. The more current you draw from the alternator the more physical resistance you create, and as such the more heat you create inside the alternator. Do it enough and yeah, you can, as you put it "fry it" without ever blowing a fuse.

Hope this helps,
Dutch