People don't always say what they mean. We often mean much more than we put into words. Think about the last conversation you had with your mother or your boss. What went unsaid? What was conveyed beyond the words exchanged? A gesture, a look, tone of voice, a step away or a touch of the hand--contextual clues are a part of every conversation. One twist of the lips and, "Have a nice day," becomes, "Screw you!"
Effective dialogue incorporates the nuances of conversation. Much more is conveyed between the lines than what characters come out and say. Consider the following passage between Robert and Mrs. Pontellier from Kate Chopin's The Awakening:
"Alcee Arobin! What on earth is his picture doing here?"
"I tried to make a sketch of his head one day," answered Edna, "and he thought the photograph might help me. It was at the other house. I thought it had been left there. I must have packed it up with my drawing materials."
"He isn't a friend of Mr. Pontellier's; he's a friend of mine. I always knew him--that is, it is only of late that I know him pretty well. But I'd rather talk about you and know what you have been seeing and doing and feeling out there in Mexico."
Chopin's dialogue reveals Robert's jealousy and Mrs. Pontellier's attempts to placate him. One simple action--Robert kept looking at the picture--adds layers of meaning to their conversation, which never directly confronts his jealousy.
Try your hand at writing a scene in which the dialogue superficially discusses one topic while conveying more through innuendo or action.