To fully answer this question, one must understand what the term connotation means. A connotation is when a second meaning of a word is used in combination with the explicit meaning.
As for the connotations in Dickinson's poem "Because I could not stop for death", there are a few that can be justified.
1. The personification of Death (as notated by the capitalization of the "D" to give Death and proper name) depicts death as both an abstract idea and a concrete one. Abstractly, death is something that happens to someone; it is used as a primary understanding in this sense.
As for the secondary (underlying) meaning, Death can be understood as a person who can travel with us. "He" can, in a sense, befriend us so that lose our fear of him.
2. The setting sun in the poem also has two very distinctive meanings. First, the image of the actual setting sun brings to mind the close of a day.
The secondary meaning, when used in context of the poem, defines the end of life. As the sun sets darkness sets over everything. Here, the darkness which comes with the setting sun represents the coming of death- when darkness comes for good.
3. One final connotation Dickinson sets up is the imagery depicted in the fourth stanza.
We paused before a house that seemed
A swelling of the ground;
Here the speaker states that they pass a house. As readers, one can clearly understand the meaning of a house- a place where people live. The connotation exists in the second line: "a swelling of the ground." Instead of picturing a home (built of brick or wood) one can see that the speaker is looking at a grave.
A grave represents the eternal home one goes to after death.