Light and shadow are what make flat images look three-dimensional and give them mood. These are the main ideas.
Contrast. Contrast is the difference between the lightest and darkest parts. High contrast feels dramatic, like Volcano World's glowing crater against a black mountain. Low contrast feels soft, like Island World's teal and peach sky.
Light direction. Front light flattens shapes and shows detail. Side light shows texture. Back light creates silhouettes, like the tripod walker against the lava glow. Light from below looks unnatural, which is why it feels spooky.
Shadows describe shape. A round object casts a soft, curved shadow; a box casts sharp edges. Shadows tell you about an object's form as much as its lit side does.
Gradients make things look round. A ball painted in one flat color looks like a disc. A smooth change from light to dark makes it look like a sphere.
Reflections repeat the light. Frost World's frozen lake is not drawn separately. It is the scene above, flipped and faded, which makes the lake look real with very little work.
Try it: look at the same wall in the morning and in the evening, and notice how the shadows change its shape.