Sensor Dust
Particles settling on the sensor's cover glass, which appear as dark spots in the image at small apertures.
In depth
Dust sits a fraction of a millimetre in front of the photosites, so at wide apertures its shadow is diffuse and invisible, while at f/16 it becomes a distinct dark blob. It appears in the same place in every frame, which makes it easy to spot against a plain sky and easy to remove with a synchronised heal across a whole shoot.
Examples in practice
A clear blue sky at f/16 reveals a dozen grey spots that were entirely invisible in the same scene at f/2.8.