I was trained in the dark arts of the cover letter by my mother, who is a hiring manager. And her training has paid off: I've been consistently told my cover letters are excellent. Let me pass on the wisdom.

The job of a cover letter is to give a prospective employer strictly more information than is on the resume. This is where you take the resume contents and put them into context. You look at the job requirements (you are looking at the job requirements before applying, right?) and look at your resume and ask the question (in your head) "why would a person think this candidate would be good for this job?" and your cover letter is the answer to that question. If you don't answer that question, the hiring manager is going to have to do it themselves, and you have way more information to work with than they do.

This is especially important if you're moving from one industry to another, because then the relevant connections aren't obvious. It's also very important if you're overqualified, because then you can use the letter to say "I know it looks like this job would be too entry-level for me, but I'm interested to pursue it for reasons x, y, and z". You can also use this space to explain away something that might otherwise be disqualifying, like job-hopping or a long break in employment. The tone to strike here is always matter-of-fact and constrained to topic - don't go into detail about health stuff or personal tragedy, just tell them what they need to hear: that this period of your resume was affected by [bad thing] but that it's now in the past and you're looking forward to the next chapter. Remember, one of the things they're trying to learn is whether you'd be content in this role, or whether you'd be miserable and leave after 2 months, which would force them to do all the work of hiring again. You're trying to establish that you will fit right in and not cause problems. Knowing what drew you to this job in particular (and don't just say 'money', that's true for everyone) helps with that.