Diodes are used to transfer electric charge from one place to another, or to stop it. The voltage dropped across reverse biased diode means that the diode is working as an electric charge stopper for the lamp or machine. It is not allowing the voltage to be dropped across the lamp or machine, and causing the voltage to be dropped across itself. This way the current is kept from entering the machine or lamp.
Just as a note, the Zener Diode is a type of diodes which is actually designed to allow a specified DC voltage to appear across itself at a specified break down voltage and is used in its reversed biased state, often along with a current limiting resistor or other components to generate a stable, low current reference voltage.