There are many answers for this, but looking at the dictionary we get:
at: In or near the area occupied by; in or near the location of
in: Within the limits, bounds, or area of
People are usually using in to note a general location and at for a more specific location.
I'm in the building, at the front desk
I'm in New York, at the conference
I'm in New York, at the Empire State Building
EDIT:
But note also the difference when in is used to indicate inside
I'm in the elevator = I'm inside the elevator
I'm at the elevator = I'm near the elevator
Per the OED, gravy is:
The fat and juices which exude from flesh during and after the process of cooking; a dressing for meat or vegetables made from these with the addition of condiments.
Whereas sauce is:
Any preparation, usually liquid or soft, and often consisting of several ingredients, intended to be eaten as an appetizing accompaniment to some article of food.
In other words, sauce is the more general of the two terms. Furthermore, gravy is usually hot, whereas sauce can also be cold.
Finally, with the rise of vegetarian meal options, you now hear qualified versions like mushroom gravy, which is made of mushrooms not out of simmered flesh-juices, to be served hot over mashed potatoes and the like. In other words, to be used for the same thing as meat gravy is used, but not made from animal flesh.
Note also that while a raspberry sauce can be expected to be made of raspberries, that cranberry sauce is a relish made from cranberries, not something to be spread atop cranberries. Things like Hollandaise sauce are something else again.
There are also extended, transferred, and metaphoric meanings of both these words, such gravy train, stewing in one’s own gravy, and in the old proverb that what is sauce for the goose is sauce for the gander, as well as saying that someone has a saucy mouth, or that they have too much sauce meaning that they are impertinent. Sometimes, too, sauce can mean booze, at least in slang.
Best Answer
At is used to talk about the position at a point.
Examples:
Sometimes we use at with a large place when we consider it as a point that exists on a journey, as a meeting-place, or as the place where something happens:
In is used for position in a three-dimensional space (when something is surrounded on all sides):