You can use a comma, a colon ( : ), an em dash (—), or an ellipsis ( . . . ) to help readers infer nuances of how a speaker is saying something.
Use commas as you do in narrative: lists, related thoughts with a conjunction between them, etc.
“We went to the drugstore and the post office and then to the market, and that's where we ran into Harvey.”
“Yeah, Ted told me he saw him there, too. He said Harvey was acting nervous, looking at his watch every two seconds, talking fast, things like that.”
A colon or an em dash represents an anticipatory pause that sets off and draws attention to what follows it in the sentence of dialogue.
“I'll tell you one thing: he'd better be waiting for us when we get there.”
“I'll tell you one thing—he'd better be waiting for us when we get there.”
The em dash and the colon are identical in function when used in dialogue, so your choice of which to use is more of a stylistic than a grammatical one. Most fiction writers use the em dash in dialogue, but some do use the colon, and nobody's going to have a breakdown if you do. And possibly, the copy staff at a publication you submit to might change your em dash to a colon or your colon to an em dash. Doesn't matter. You lose nothing in what you communicate to your readers. The two punctuations mean the same thing in dialogue.
A single em dash can also be used to indicate an abrupt end to speech through interruption. The interruption can be self-induced:
Lance was sure Pritchett knew where Nora was. He had to know. He walked across to where Pritchett was seated and stood over him.
“Where's Nor—” The rest of the word froze in his throat as he saw Pritchett bring up an ugly-looking knife into the space between them.
The speaker can be interrupted by someone else:
“Oh, sure, and did Grayson explain how a salt water creature happened to be thirty miles inland living in clear water?”
“Stranger things have happened. I know—”
“Look here, Ben,” the sheriff broke in, “you work for the state. Now, why don't you keep your nose out of county business, is that clear enough for you?”
You can use two em dashes to set off an internal part of the dialogue from what's around it, presumably with abrupt, momentary pauses.
“I don't know where he is—nobody does—so I'm going without him.”
The ellipsis ( . . . ) indicates a pause, and is handy for stop-and-go or disjointed speech or thought such as thinking out loud, pausing for effect, and the trailing off of speech. (Remember, the soft pause or fade of the ellipse is different from the abrupt break of the em dash.)
“Hurricane coming?” he said softly and mostly to himself as he adjusted and centered his glasses. “Well, I don't suppose . . . there's much we can do about that, with . . . .” His tenuous interest in the conversation dissolved, and he was once again lost in the artifacts from the day's dig.
Note that the second ellipse, the one at the end of the quote indicating the final trailing off of the speaker's words, apparently consists of four dots, not three. This is not the case. What you actually have here is the ellipsis—three dots—and a concluding period. The closing quotation mark is outside both. Over the years, I've seen a fair occurrence of ellipsis/closing quote/period, like this: . . .”. That's incorrect—don't do it. . . . .” is the correct order.
Here's some dialogue that uses several different punctuations to convey how something might be vocalized. Notice the use of the em dash to introduce and set off the final part of a sentence, the placement of commas between items in a list, and the pause for effect between the next-to-last and last items in the spoken list, facilitated by the ellipsis.
“When we came here a few hours ago, the only thing we had in common was the ten thousand dollars we'd get. Now, however, we share something else—the death of Mrs. Loren.
“So far tonight, one of us was almost killed by a falling chandelier, one of us was mysteriously slugged, one of us has been driven to the brink of absolute hysteria . . . and one of us is dead.”
You probably noticed that there's no closing quotation mark in the passage above at the end of the first paragraph, after Mrs. Loren. This is how dialogue with more than one paragraph is handled: place an opening quotation mark at the beginning of each paragraph, but a closing quotation at the end of only the final paragraph.
Here's another bit of dialogue with more than one paragraph. Notice that there's an opening quotation mark at the beginning of all three paragraphs, but a closing quotation mark at the end of only the final one:
“Before we go in here, I want all of you to keep two things in mind if you don't remember anything else I've said.
“First, Edgar James has broken no laws, and you will respect his home and property. If I see any of you disrespect either, I will personally make sure your life changes for the worse.
“Second, Parker James is absolutely no good to me if he's dead. If we find him here, he goes back to Prestonsburg, and he goes back alive.”
This blog entry is reprinted from the section "Dialogue: Forms, Tags, and Punctuation" in Writers' Devils: The Grammar Guide for Fiction Writers, by Dan Persinger, available in Kindle eBook format at Amazon