Both of these writers tell stories in third person, and they often have a non-main-character narrator telling the story. But, in places, the narration (while still staying in third person) takes on the voice of one of the story's characters.
For example, here is part of a paragraph from Munro's story "Dimensions":
She liked work--it occupied her thoughts to a certain extent and tired her out so that she could sleep at night. She was seldom faced with a really bad mess, though some of the women she worked with could tell stories to make your hair curl.
I think some of this may be up to interpretation, but for me, most of this bit is told in a fairly intellectual voice: it occupied her thoughts to a certain extent and tired her out so that she could sleep at night.
But, as the paragraph proceeds, we start to hear a less formal voice with phrases like "really bad mess" and "stories to make your hair curl."
Munro manages to take us from a more distant third person POV to one much closer to the woman in this story, where we start to hear the character's voice even though it's not proper dialog.
Tolstoy does this to an even greater extreme, where a chapter's narration can take on several different voices. Here's a paragraph at random from Anna Karenina:
For the mother there could be no comparison between Vronsky and Levin. The mother disliked in Levin his strange and sharp judgements, his awkwardness in society (caused, as she supposed, by his pride), and his, in her opinion, wild sort of life in the country, busy with cattle and muzhiks; she also very much disliked that he, being in love with her daughter, had visited their house for a month and a half as if waiting for something, spying out, as if he were afraid it would be too great an honour if he should propose...
Can't you just hear the mother saying things like "wild sort of life in the country"?
Tolstoy (and Munro) manage two tasks at once by using this technique. On one hand, they are able to characterize their characters by having the narrator display a different voice. On the other hand, by not going directly into dialog, the writers maintain the ability to provide psychological insight that goes deeper than what the characters themselves could probably express.
Isn't this a cool technique? It's one that I've just started to play with. Has anyone done this? Or, can you think of places where this might be helpful to you?