Dialogs are short conversations that demonstrate vocabulary or grammar points in context. Most courses come with dialogs available on CD.
The quality and content of program recordings varies considerably. Some courses (Assimil, Living Language) have professional voice actors in a studio enunciating clearly, but not artificially so. Some courses (Teach Yourself?) still have professional voice actors, but have tried to make the records more "real" by adding background noise and other ambient sounds. While this adds to the realism, it can be awkward while trying to shadow or trying to pick up precise intonation. Other courses (Penton Immersion Plus) have what sound like native speakers but not voice actors, resulting in a stilted and slightly artificial delivery.