Unterpretivists like valid data, which ives a true picture of how the research subject(s) really feels. They aim to achieve verstehen, a term coined by Weber. German for "to understand", it literally means that - to undertand something from the point of view of the person experiencing it - like when people say "imagine being in their shoes". Surely this is more achievable if you are physically in their shoes and doing what they are doing?
Take extreme sports - people looking in on the outside might say those who partake have a death wish, whereas those who actually do say they don't, they do it for the thrill.
Example = Venkatesh's Gang Leader for a Day
Edit : You could also compare briefly with other methods - for example, questionnaires might not give valid data because people lie to feign social desirability. On the other hand, people can still edit their lives during observation if it is done overtly - I forget who it was, either Punch or Circourel, but they were investigating police officers who told them they only allowed the observer to see what they wanted them to see. "Censoring" was also done by JT in Venkatesh's study.