Anthropologists sometimes do field studies. They go into the type of culture they want to understand. This is very interesting. Normal people do something simmilar but without the scientific field studies.
Do these two methods have pros and cons? Could it be that if you try to understand a culture with scientifc fiel studies that you will miss something important in that culture?
Field studies come in many forms and types. For instance an ethnographer may attempt to study an entire culture. This is possible if the culture is made up of a singular tribal group. My students do a paper on an American sub-culture. This can be any group or "society" they choose. Among the things such a group must demonstrate is at least two forms of internal communications, meetings, items of cultural identity and so on. Their descriptions must be as complete as possible. Aside from observation, they were not permitted to be a part of the subculture.
But this is just a rule I imposed. Some, become deeply involved as to gain an I depth understanding of such sub-cultures. An individual who joins such a group out of interest does so not for investigative purposes but rather for the sake of being a member. As a result they may over look some aspects they would prefer not to be involved with. The anthropologist on the other hand would necessarily include such activities to gain a total understanding of the group.
Are there pros and cons? Yes, depending on the group and its internal dynamics. For instance a deep cover spy could be killed if exposed. Same is true for an anthropologist. I know of two such deep cover individuals in very risky situations.
Could something be missed? Yes but rarely.