Firstly, people do not always clearly understand why they behave in certain ways (which is why sociological data is required). By combining the role of (full) participant and (detached / impartial) observer the sociologist may be able to understand situations and events the participant is incapable of understanding and / or explaining.

Secondly, when we look at behaviour "from the outside, looking in" it's frequently difficult to explain why people would want to behave in ways we may find distasteful, disgusting or perverse. By becoming a part of a group the researcher is able to see things from it's member's  perspective, which may provide a clearer understanding about people's behaviour.