George T. answered 10/20/20
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Here's a really simple example...
He closed his eyes and rubbed his forehead. "Do you have any idea what you've done?"
Imagine this happening in a high school principal's office. The setting tells us the stakes are probably pretty low -- NOT a life-or-death situation. The person in trouble probably isn't in bad trouble, right?
Now imagine the same thing happening in a police station. The stakes are much higher, right? Now we're definitely worried because the character hearing this line is very much at risk.
Another simple example (taking a hint from Alexis H's answer above) -- your characters are shopping at the grocery store. Without warning, all the lights go out. Now what has changed? You've gone, in a moment, from a common everyday scene to sudden uncertainty, possibly peril. You don't know who else is in the store. You don't know why the lights went out. Etc.
Hope this helps!!