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First, consider this work as a drama, a play on the stage, not just as a text.
Macbeth (written c.1606, and presented at the Globe Theatre that year) was conceived for an open-air theatre, to be performed in daylight in a space that could not be physically transformed into darkness. Much of the action, however, takes place at night, in darkness, and Shakespeare has to indicate this darkness theatrically. Darkness in daylight is achieved partly through stage directions, where actors appear with torches, candles etc, and in the language itself. The dark scenes are intiated in Act I, v by Lady Macbeth's invocation of the powers of darkness and her later reference to 'this night's great business'. A little later, this illusion is inverted - in I,vi, Banquo and Duncan exchange descriptions of the castle's pleasant seat, air, the 'martlet's procreant cradle', etc - they are supposedly in darkness, conjuring a vision of the castle in daylight, which is literally real to the theatre audience, but the illusion of darkness has been established, and we are asked to visualise the daylight scene. (You could say that this is another kind of illusion - ironically, there is nothing gentle about this castle, as we are about to learn.)
Consider various other theatrical illusions: the Witches are probably supernatural, but they appear on stage and interact with other characters; the dagger is invisible, a figment of Macbeth's imagination; Banquo's Ghost is seen by Macbeth alone, and is invisible to the other characters. (Nowadays, often no physical Ghost appears on stage, but reports of early performances make it clear that it did, thus requiring that the audience doubts its senses.)
Read the language closely. Macbeth's 'If t'were done when tis done, t'were well / It were done quickly' (I,ii) is a tongue-twister, but indicates the mental conflict of the speaker. Later (I, vii) Macbeth conjures the images of a 'naked, new born babe...heaven's cherubim...horsed...' as lurid as a Renaissance painting, only to have the horse imagery become the vehicle for his 'vaulting ambition, which o'er leaps itself...' (I,vii,20-28).
Read N.S.Brooke's Introduction to the Oxford edition of the play (1990) which is especially good on the illusions.
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