A previous post on Harley Davidson commented on how true, deep insight rarely comes from focus groups, but rather from immersing yourself in the consumer's world. And a great way to do this is through anthropology, observing people in-situ in their everyday lives.
Marketing Profs have a great piece on this, that picks up on a feature in Business Week about how Electrolux used this to generate insights to re-invent their business.
Another example of how powerful this sort of stuff can be is a project done by Kraft on their out-of-home coffee business. Video of consumer visits to coffee bars dramatised how important the environment, cups, extras (choc on your cappucino) was. They needed to sell not just coffee beans, but advice on the whole, end-to-end coffee experience.