We use of course to refer to things that are obvious or already known to the speaker and listener, or to everybody:

A tropical climate is, of course, very humid, so we sweated all the time. (We use commas here, before and after of course, to show that it refers to the whole of the first clause.)

It’s a public holiday – that’s why the shops are closed.

Oh, of course, yes! I’d completely forgotten.

We use of course when a situation or piece of information is not surprising:

Our car broke down on the way to the station so, of course, we missed the train and had to buy new tickets. It cost us £80!

He’s mega-rich and, of course, he can afford to fly first class all the time.

We use of course to mean ‘yes’ when we are giving permission to someone to do something:

Can I borrow your newspaper for a minute?

Of course. Go ahead.

We don’t use of course when we answer a question and give the listener information they do not already know. This can sound impolite:

When you were in London, did you go to any shows?

Yes, we did. We went to three.

Not: Of course. We went to three. (The listener A may hear of course as meaning ‘how could you think we didn’t go to any shows?’ and A may think B felt that A had asked a stupid question.)

See also:

Discourse markers as responses