Where is my son?

This question expects that you (the person I'm asking) know the answer. It's a little more complicated than that, though:

• You might not know, but I am implying that you should know.
• You might not know, but I might be a panicked parent who (irrationally) demands answers from you anyway.
• I might be asking a whole group of people. Many of them won't know, but I'm assuming or hoping that someone will.

Do you know where my son is?

This leaves open the possibility that the answer is "no, I don't know". However, if you do know, it is still expected that you will tell me! If I ask this and you just answer "yes", I will think you are being deliberately troublesome.

In other words, this is an indirect way of asking the same thing. Indirect questions are generally more polite in English. That does not mean that "Where is my son?" is rude; it's just not quite as polite.

EDIT: As supercat's comment below so rightly points out, this question of politeness depends a lot on the context. If you should know where my son is (e.g. I've come to pick him up from your house), I would say to you, "Where is my son?" (Okay, I'd probably use his name, but that's beside the point.)

If, instead, I said, "Do you know where my son is?", you would have good reason to think that I was being sarcastic: I am implying that you are negligent, and so you might possibly answer "no" to my question!