When you engage Park but do not engage the parking brake, the weight of the car is held by only the little parking pawl lever inside the transfer case, as opposed to the car's actual parking brake. When you start your engine the next time, you can feel an unpleasant "thunk" when you move the selector out of Park, if there was even a tiny unevenness to the pavement. This is because the little parking pawl is literally FORCED out of the lock, overcoming the weight of the car. It is always recommended to engage the parking brake first, to let car's weight rest on the brake, before moving the selector into Park. That way, the next time you start the engine and move the selector out of Park, there is no more "thunk" because the weight of the car is held by the parking brake, not by the little parking pawl. (Unless you release the parking brake first, without holding the brake pedal, before moving the selector into Park. In that case, you would actually feel the car move a little, its weight falling back onto the engaged parking pawl.)
After arriving, recommended to
1. Engage parking brake.
2. Move selector into Park.
3. Let go of the brake pedal.
4. Stop engine.
Before leaving, recommended to
1. Press the brake pedal.
2. Start engine.
3. Move selector into Drive (or Reverse).
4. Release parking brake.
There will never be that rough "thunk" moving out of Park when these steps are followed, because the car's weight will not rest on the parking pawl that locks the output shaft.