From the classic Box, Hunter, and Hunter book. The point of the saying is pretty clear, I think: There are things you learn from perturbing a system that you’ll never find out from any amount of passive observation. This is not always true–sometimes “nature” does the experiment for you–but I think it represents an important insight.
I’m currently writing (yet another) review article on causal inference and am planning use this quote.
P.S. I find it helpful to write these reviews for a similar reason that I like to blog on certain topics over and over, each time going a bit further (I hope) than the time before. Beyond the benefit of communicating my recommendations to new audiences, writing these sorts of reviews gives me an excuse to explore my thoughts in more rigor.
P.P.S. In the original version of this blog entry, I correctly attributed the quote to Box but I incorrectly remembered it as “No understanding without manipulation.” Karl Broman (see comment below) gave me the correct reference.