The best actors are famed for doing research for their roles. The most famous is probably Robert De Niro for Taxi Driver. While preparing for his role as Travis Bickle, De Niro was filming Bernardo Bertolucci's 1900. According to Peter Boyle, he would "finish shooting on a Friday in Rome...get on a plane from Italy, fly to New York", whereupon he got himself a cab driver's license. He would then go to a garage, pick up a real cab and drive around New York, shoot a pimp, then fly back to Rome again.
Nowadays most actors just use Wikipedia for their research. It's too dangerous to be out in the real world, especially since Pretty Woman. Not many people outside the business know this, but Julia Roberts really did work as a prostitute when preparing for the best romantic comedy of 1990. She even had her own pimp who used to beat her up. Eventually she couldn't take his abuse anymore, so she had to tell him "Look, I'm not really a hooker. I'm Julia Roberts. I'm an actress. You've seen Steel Magnolias, right?"
Sadly he hadn't, and he broke three of her fingers.