I think the best way I've seen urgency used in a game is by giving a choice. You can either do 1) Save this town, or 2) Go slay this monster. You can't do both. By doing this you are forced to make a meaningful choice, that changes the game going forward, but you can take your time in making that choice. So you don't have to be in a hurry to make the choice, but when you do someone lives and someone dies. I also like how this adds a lot to replay value.
Though I haven't played it myself (it's on my wishlist) I think Wasteland 2 had some choices like this.
No, those are the Bioware-type choices which don't befit RPGs. You shouldn't choose such things in dialogue. There should be nothing stopping you from leaving 2 people to defend the town, while the other 2 are on the hunt for the monster or simply leaving without doing any of these things. You also shouldn't choose it from a drop-down menu. Choices should be natural and in no way enforced by the interface. Consequences should also be logical and connected, whatever they may be. Look at Fallout 1 and 2 for an example of how to do reactivity and C&C well.