Alright forget about the transmission. Assume you only have 1st gear. In 4H you can go the same speed as in 2H in 1st gear at the same RPM. Put it in 4LO and you can only go half as fast in 1st gear(the half as fast may not be exactly right, but you get the idea).

This means you can crawl up a hill without bogging down the engine, because the engine is turning faster, but you are going slower. If you try a steep hill in 4H in 1st gear and it is to steep your engine will bog down and eventually die. With the RPMs up in 4L your engine will not bog down nearly as quickly. It is just like trying to take off from a red light in third gear with a standard. The engine bogs down and dies. If you try to take off in 1st it is easier for the engine to push the weight of the vehicle. The engine gets to turn more times to move over the same distance. Make sense now?

The difference is less pronounced when using an automatic in Drive, because the tranny shifts on it's own.