“You should say something to the waiter.”
You're on a dinner date and just received your food. Your date asked for salad but got fries instead. You encourage her to tell the waiter about this.
You should say something to the waiter.
When someone has a problem, a complaint, or a concern, you can tell them to "say something". This means to talk about their problem to a person who can fix it.
For example, in the subways of New York, there are signs everywhere telling people to report strange packages to the police. They have photos of bags or boxes sitting alone under a seat, and say:
If you see something, say something.
In this situation, "say something" means to tell a police officer or subway employee about your suspicions.
Telling someone "you should ___" is a way of giving advice. You use the word "should" when you don't think the person will mind you giving them advice. For example, if you think that your friend is a talented artist but hasn't tried to do art professionally, you can say this:
You should try to do a show at an art gallery.
On the other hand, if you want to give someone advice that they're not expecting and might not like, you can use an expression like these:
You know you're supposed to finish that by Tuesday, right?
Um, you might want to clean up your desk a little.