We study the actual users of your application in their work setting, as they use your product. This is an excellent way to improve your understanding of users' needs, their work tasks, their problems with existing products, and their use of your competitors' products.
Benefits
Excellent for studying difficult "knowledge domains": domains that require significant expertise and specialized job functions.
The best method for understanding actual use, in real contexts
Limitations
More open-ended than other methods, hence may take longer to analyse the data
Choose users carefully: specifics of the users studied can play a large role in the conclusions drawn with this type of study
