English speakers use ‘by the way’ a lot in their conversations to indicate that they are changing the subject of a conversation or adding supplementary information to the same conversation. Let’s look at some examples:
Jane: did you ask July to come on Saturday night?
Marianne: yes I did. By the way, did you know she’s got a new boyfriend?
Jack: Have you seen my telephone? I can’t find it anywhere
Jim: Sorry, I haven’t. By the way, Brian said he was going to call you.
Julie: Anyway, she left without saying anything, so I suppose she wasn’t happy.
Lynette: Really? By the way, did you see Game of Thrones last night? It was shocking!