The Sets: Mostly Imagination
Shakespeare trusted his audience's imagination
He did not need to elaborate sets to recreate a battle scene or a bedroom or the Roman Forum. Without elaborate sets to move on and off the stage, he could change scenes with the kind of fluidity we see in movie today.
Characters could be lowered from the heavens by cranes, and there were sound effects.
These special effects caused the destruction of the Globe. In 1613, during the battle scene of Henry VIII, a stagehand was lighting the fuse cannon. A spark flew up and started a fire in the thatched root of the heavens, and the theater burned down.