I had this epiphany strike me while reading Anna Karenina. There is a scene of conflict between Anna and Vronsky (several of them) where the dialogue is almost meaningless if you looked at it as pure dialogue. It has no information in it, no explanations; the lines are broken, unfinished. It was while reading those scenes that I undestood something I already knew yet failed to apply fully to my own writing.  

You know how they say, you're blind to something until you're ready to see it? Yeah, like that.  

We communicate mostly with body language. There have been studies of percentages (93%) and there have been studies disproving those percentages. You can look it up and see for yourself. It differs when applied to characters in books. I dunno if anyone has done a study on that, but I know that whatever the percentage is, it's big and it indicates how much we grasp via non-verbal cues (however, it also differs when you write romance versus thriller versus fantasy). Words are mostly filler. It's easy to forget this as we're now smack in the middle of society that types more than it talks, but we haven't changed much, and we still pick up clues from subtleties like a tilt of a head or a narrowing of eyes or a twitch of a lip or a shift of a hand.  

It's fun guessing people's real intentions because we rarely say what we mean. For the same reason it's fun the surmise characters' intentions. It's why we read. If everything gets spelled out in dialogue, it gets boring. What you put around your dialogue is very important.

Let's take a look at an example. Let me write a quick cheesy love scene for you and exaggerate the differences. 

EXAMPLE 1.

They sat on the bench, holding hands. 
"Oh,  darling, how I love you!" he exclaimed rapturously.
"How do you love me?"  she asked coquettishly. 
He flung his hand to his chest. "I love you so much, my heart aches and my blood roars and I want to kiss you from head to toe and—" 

Okay, we got it. Boring, sloppy, overly sentimental, cheap attempt at romance (though you'd be surprised to find similar passages in published books). 

EXAMPLE 2.

They sat on the bench, holding hands.
"Are you cold?" he asked, his eyes darting to his pocket where a glove peeked out.  He made as if to take it out and stopped.
She followed his glance. The corners of her mouth tipped up slightly, enough to make little dimples in her cheeks. "Do you always have a spare pair of gloves on you?" There was an amused tone to her voice.
"Remember that day when..." he faltered, "your hands were red from cold, remember? It was snowing so hard, and you forgot your gloves..." 

This is not a perfect example by any means, and I got a bit sentimental in the last line, but dialogue here carries seemingly useless information. He asks her a banal question, she doesn't answer but instead asks her own random question, and then he recalls an unrelated episode from the past that is on top of it a flashback. But we guessed that he loves her. He loves her so much that a little detail like red hands has worried him. He is worried about her hands. He had since been carrying gloves for her. We also guessed that she senses it, and she's playing him a little. We get the same stuff as from a passage above, but it's so much more fun to read!

"Make your reader smarter than you." 

I heard Chuck Palahniuk say it at one of his readings. And it's true. Don't chew everything and spell it out. Leave it unsaid. Let us guess. We're not idiots. You could go even further than that. Let me give it another try.  

EXAMPLE 3

They sat on the bench, holding hands.
"It's cold, isn't it," he said, his fingers massaging hers absentmindedly. 
"Feels like it." She tilted her head, a sparkle in her eyes.
He couldn't place it, this sparkle, and fidgeted. "So, tomorrow..." he cupped her hand with his and blew warm air into the nest he made. "Do you think..." he stopped, blushing.  

Okay, this is hard to do on the fly. I would have to ponder how to write this scene well for a good hour, and it would take me many drafts. What I'm trying to do here is to remove all context from dialogue, strip it to bones and mundane nonsense and yet fill the details around it with meaning that would give this dialogue a powerful emotional charge. 

I hope I have illustrated enough. This is but a snippet about what writing good dialogue entails. I'm still learning it myself and would love to hear your thoughts. But I firmly believe that less or more. Don't clutter your prose with explanations. Let us get it on our own. Remove yourself from the story and simply show us the story. Tell us what happens. And we will decide about the rest. We will guess what you tried to say and we will feel smart and we will want to share your book with our friends because it's so good, without realizing that w're the ones who made it good.  

A great writer is the one who shows us the path. Our job is to take it and walk it. You can't enjoy a new path if you've been told about everything that's there, you want to discover it for yourself, don't you? Otherwise why bother going?

Onward.