The human brain is very good at picking up subtle audio cues; the little changes in phase and frequency content and direction that between them reveal the size and distance of an emitter and the size and surfaces of any enclosure around it.
These elements are difficult to fake, and nearly impossible to remove. If you record a voice-over session in a room, it will sound like it was recorded in a room. There is almost nothing you can do to remove those tell-tale clues.
Physicality matters. And physicality also sells. So as a sound designer, you can leverage that same physics.
One of the old tricks used in cinema was Worldizing. Basically, this meant taking pre-recorded material and playing it back in the same or similar acoustic space that was being shown on screen. Then record that. A similar trick has been used in record production; the most obvious being the "transistor radio" effect, achieved by -- yes -- playing back the track through a small speaker and picking that up on a mic.
You can perform this same trick live in the theater environment. If you have a sound effect that is pretending to be from an on-stage radio, then play it back through a small speaker. And place it as close as you can to where the prop is; again, that human audio processing system is uncannily good at figuring out where a sound is coming from in 3d space.
Of course, there are ways to fool that mechanism. One very useful trick for theater is the Precedence Effect. Simply put, the brain localizes on the first source heard (and/or, within a graph of intensity versus precedence, the loudest). So you can reinforce the sound of that small speaker to make it louder and fill in more of the low end content with other speakers, and as long as you stay within certain constraints of volume and time the sound will still "appear" where you physically placed the small speaker.
It isn't just speaker size. Placement matters. And so does the environment. If you place a speaker behind the set it will reverberate around the off-stage spaces and carry with it an aural "map" of that space. Put it on stage, within a defined space there (say, the couple of set walls that represent what the audience can see of a connected anteroom or bathroom, or inside a cabinet or coffin) and those acoustic spacial cues will be aded to the sound.
The simplest recording process is to record dry and add the appropriate ambiance later. However, there are times it makes sense to record within a specific acoustic space to begin with. Record in a stairwell and it will sound like a stairwell (or, at least, sound like a tall enclosed space). Interestingly, you can record on the actual stage and, if you've placed your microphone well (either in the audience, or near the speakers) on playback you will get phantom sources that seem to exist right there in the space with you. I did this once for Rosencranz and it was most effective.
On the flip side, you don't want every VO session to sound like the lobby, or every instrument you record at home to sound like your living room. Dampen those give-away reflections. I often record VO in costume shop storage, because all those hanging fabrics provides an acoustically dead space.
Physics appears in sound in other places. The vibration modes of any object -- not just a musical instrument -- change over various intensities. You can not record speaking and make it sound like shouting, or record a light tap and make it sound like a hard crunch. Or even record a piano played softly and make it sound like a piano being played vigorously. Physics doesn't allow it.
Again for voice-over work, if you want a voice to sound like it is twenty feet away, record from twenty feet away. Conversely, if you want it to sound like it is on a phone or a headset, then get that mic that close (or, better yet, find a phone or headset and record through that).
The latter is better because, once again, physics. You can simulate what a carbon element sitting in a phenolic handset sounds like, but you get a more accurate simulation with less work if you just record through that actual technology to begin with.
And this blends into sound effects. There is much more to be said on sound effects; about how audiences have been trained to expect things to sound a certain way (which they do not in real life), about how you need to focus in and strip down real sounds in order to "sell" them in the limited sonic window you have available in a play, and how distorting the real and creating the unreal are part of the art of sound design. But the best starting point is with real sounds. Not necessarily the sounds of that exact thing, mind you -- see above! -- but with real sounds. A microphone pointed at an actual mechanical object be it a snapping twig or a wind-up clock delivers multitudes of detail that is difficult to synthesize.
And real sounds have, well, reality. A gravitas, even. They carry that verisimilitude of real objects operating under the real physics we've instinctively absorbed through living in that physical environment. Even when you use a sound out of context, or use it to sell something quite different from its actual origin, those tiny cues of vibration nodes and damping and the little bits of noise of clattering and chattering and slithering and scraping are all there making it feel more real -- as well as more complex and more engaging.
Lastly, microphones have response curves and pick-up patterns. Equalization after the fact introduces phase shifts (as well as other artifacts); the better way to get a "bright" sound is to start with a "bright" mic. Real objects -- this is particularly obvious in musical instruments -- radiate from multiple sources in multiple directions. A microphone a few inches from a violin will hear a distinctly different sound picture if over the bridge, the neck, the back, or over an f-hole. And that same microphone a foot away will get yet another set of pictures depending on what part of the violin you aim for.
This is why placing microphones properly is so essential to getting the desired sound from a musical instrument that is being recorded (or reinforced in a live sound situation). The right mic, the right position, the right distance; these are all things that are difficult but not impossible to correct at the console or with plug-ins in the DAW. Which is not the same as saying post-processing never happens. There are instruments that are almost defined by artificial processing of the original acoustics, primary among them being the rock drum kit.
This matters for voice-over recording to. Or for foley work. It is essential in both to put on headphones and find out what is actually going to the recorder. Search out the sound field, move the mic and change the angle, to find the sound you are searching for.