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Sometimes viewers need to know about something that happened before the movie began so they can understand the story. Or they need some background information on a character that explains his personality or behavior. Exposition, as this information is called, has to be delivered through setups, flashbacks, dialogue, or other subtle means, including visuals and music.
Writing exposition is tricky, because it can easily fall in the "telling" rather than "showing" mode. If you're too heavy-handed with your exposition, you pull the reader out of the fictional world. Good exposition is woven naturally into the story.
Exposition should be doled out on a "need to know" basis. Give the reader only as much as he needs to know right now in order to understand the story. A good way of creating suspense and masking exposition at the same time is by making the audience curious about what happened or what the character is hiding. In Casablanca, by the time the flashback of Rick and Ilsa in Paris rolls around, we are dying to know what happened between them.
One trick for revealing information the audience needs to know is to reveal it to a character who is also in the dark. In The Silence of the Lambs (novel by Thomas Harris, script by Ted Tally), Clarice's superior prepares her to meet Lecter. Because Clarice needs this information to do her job and stay safe, this bit of exposition comes across as believable. A more awkward bit of exposition is the opening scene of My Best Friend's Wedding. At dinner with George, Julianne checks her answering machine and learns her best friend Michael called. She then proceeds to tell George every detail we need to know about her relationship with Michael. The problem is, George is Julianne's second-best friend. Wouldn't he already know the story? That kind of information dump is pure telling. It pulls you out of the story.
Another trick is to reveal exposition through action. In Casino Royale (novel by Ian Fleming, screenplay by Neal Purvis, Robert Wade, and Paul Haggis) a scene was included to inform us of Bond's double-00 status, achieved once a spy kills twice. Bond is face-to-face with a spy gone bad. The spy is cautious but confident, sure that if he were really in trouble, the agency would have sent a double-00 agent. But, as he points out, Bond has only killed once. At that point, Bond pulls out a gun and shoots him, securing his double-00 status.
When writing exposition, search for ways to mask it. Don't tell us anything we don't need to know, and don't allow characters to discuss things they already know. Reveal exposition through action as much as you can. And create curiosity by holding on to exposition until it's absolutely essential to the story.