Atmosphere can be cozy,and scary,and comfortable even,when you have seen a movie before,say..like the opening scenes of the Thing,1982.The vastness of the country,the repetitive heartbeat sound of the soundtrack..sets the atmosphere well.
In a movie a big part of the atmosphere is the music. The Thing, Halloween, Suspiria, Friday the 13th, 'Tubular Bellls' in The Exorcist. Music set to certain locations and weather in those locations plays a big part. But silence is equally important, silence and maybe just one unpleasant, worrying noise.
That's why it's so hard to pinpoint. Atmosphere is many things combined that work together and take turns. It's not just one thing: there is an overall atmosphere usually, for example a lonely and isolated place. But within that there are other atmospheres: for example someone happy, playing music and singing in that isolated place. It comes from both environment/setting and the characters. It seems the main impression of mood you get from a place or person/character(s).
The mood already changes when one person meets another and they have to find an 'atmosphere' (or common ground) in which both feel at ease.
Also everyone experiences it differently. To some a thunderstorm may be frightening, to others exciting or fun.
Unless, like in a good movie or book, the atmosphere is set real clearly, people may take it differently. So maybe that's what is meant by 'the atmosphere was good': it was established very clearly.