Go Through Every Dialogue You Can
With Kentucky Route Zero being a point-and-click game, you can expect plenty of dialogue when playing. Interact with different characters throughout your journey. You'll be able to choose different questions in response to different characters' words.
Sometimes, you'll be able to strike up a conversation again with the same character. Go ahead and do that and ask all of the questions you can. There are no major effects of this, but it's just a fun way to get more information on the story that's playing around you.
In a game like this, it's just always good to absorb as much information as you possibly can. Because as you progress through the game, you might say "oh yeah, I remember what he or she said" in regards to something that you may come across or might happen on your adventures.
Be a Haw-Eye on The Road
So in Kentucky Route Zero, you spend parts of the game on the road of the town you're in. You don't actually see the truck, but you are taken to the map. From here, you'll see a wheel. This wheel is you, so you can move it around the map and then stop at different locations.
I'd definitely recommend exploring as much of the map as you can. Things will change at times, so there's always something that might pique your interest. Some places you stop will pull up dialogue and give you certain options (ex: break glass to enter the building, look through the window, etc, etc).
And although it may just be dialogue popping up painting you a picture, it paints the picture beautifully with the great way it's written. And KRZ can be an eerie game (not scary mind you) as mentioned, so even the dialogue-based locations can give you some slight creeps. But other places will allow you to actually explore a little bit with your character. So keep your eyes peeled because you never know what you'll find on those Kentucky roads.
Click on Everything You Can
This sort of goes back to the dialogue aspect of things in Kentucky Route Zero. It's always fun to get as much information as you can, and one way of doing that is by clicking on as many things as you can see. It's a point-and-click after all.
You'll get a unique dialogue based on whatever it is that you clicked on. It adds a bit of intrigue to the story but sometimes there may be nothing much. Nonetheless, always keep your eyes peeled for clickable things because anything can pique that curiosity.
You'll discover many things on your journey through the five acts of KRZ, so make sure to collect as much info as you can. Again, it's not totally necessary, but it's just fun to be able to absorb what you can and have your own thoughts about different aspects of the game's story.