The thing about psychology is it’s not an exact science. Things are constantly changing. In fact, one might go ahead and say that probably the only constant is change. This is due to the fact that new and different theories are always being proposed. Psychology experiments are some of the theories that scientist are trying out.
Now, to ensure and to test their accuracy, psychology experiments have to be conducted to either support or discredit the theory that has been put forward. They are done in various ways and settings. For instance you might find that one person has opted to do observations in a lab while another has chosen to actually follow the subject around and observe them in their natural settings.
For example, a psychologist might want to test defense mechanisms. You will find that human interaction, and reactions are studied by exposing the different test subjects to the same stressors. You find that they react differently to the same situation. Some might react violently, while others might go into shock and go into auto pilot mode, while others simply ignore whatever stressor they were exposed to.
The data collected in the course of these psychology experiments is used to come up with different theories. Most are conducted to see why we do the things we do, why we react the way we do. These theories are further used for example to explain to people different aspects of human behavior. When a psychologist is profiling an individual, these are the theories that they turn to and for example, when assessing sociopaths and psychopaths.