If you warn a child not to put his or her hand near the fire, he or she may not listen to you. But if the child actually touches the flame out of curiosity, he or she will get burnt. By actual experience the child will learn that putting one's hand in fire can cause a lot of pain and physical damage.
Most of our study is based on books. We may read a lot about the beauty of the Taj Mahal, but actually making a visit to the Taj, we will really experience its grandeur. Again, there are many skills, like mechanical skills, for which more theoretical knowledge is not sufficient. We must actually go through the experience of handling the machines and learning from our mistakes.
Even our judgements about people or things are based on our past experiences. Thus, we can conclude that experience is the best teacher, and one should not shy away from the various experiences life has to offer.