Here in Blade Runner, you can see the time and place that this movie was set, which reveals a lot about the plot.
In Nausicaa of the Valley of the Wind, the beauty of the natural setting contrasts against the dark/stark grunge of the city.
In this film, the place where this character lives is called Unnamed American Town. This reveals a lot about the dull character who lives within this town.
Above, you can see a clip from the Dark Knight. The dark and violent setting contributes a mood to the film.
Here in Star Wars, we can see the sci-fi space setting/ space ship reveals the genre.
Here you can see this Wes Anderson film is set in The Grand Budapest Hotel. This setting demonstrates the directors style, which is consistent across multiple films.