In Scientific Self-Help, I explained that huge sections of the self-help industry pay little or no attention to the scientific data on self-help. Partly, this is because self-help products are usually written to sell, not to help.
Another reason for this is that there are huge gaps in our scientific knowledge about self-help. Unlike electrons, humans are complex beings and very different from each other.
When considering a self-help goal, it may be helpful to at least start with methods that have been scientifically demonstrated to work on a large number of people. On the other hand, there are so many gaps in our knowledge that it's definitely worth just trying things to see what works for you. This point has been recently emphasized by atucker in Go Try Things, Don't Fear Failure, and Just Try It: Quantity Trumps Quality. Also see: Use the Try Harder, Luke and Break Your Habits: Be More Empirical.
To cure his insomnia, Seth Roberts tried exercise, calcium supplements, and adjusting the lamps near his bed. In the end what worked was delaying his breakfast until 11am. Within a week, his insomnia was gone. Three months later he tried eating at 7am again, and the insomnia returned.
No controlled scientific study says that delaying breakfast until 11am will cure insomnia. For most insomniacs, it probably won't work. That's why it's important to Just Try It. In a way, you are a special snowflake, and the only way to figure out what works for you is to Just Try It. Controlled scientific studies are, pardon my language, a godsend - but you can't wait for busy scientists to decode your personal psychology. You're going to have to do that yourself.
Roberts did the same with dieting, trying an endless combination of things and weighing himself constantly. He found that drinking unflavored fructose water between meals did the trick, and he lost 35 pounds. Later, he discovered that a few teaspoonfuls of flavorless vegetable oil worked just as well.
When to try, when to not try
Of course, there are some things you shouldn't "just try." Physically dangerous things should not be tried on a whim. Financially dangerous options deserve much forethought.
But in many domains we overestimate the risks involved in trying. Social interaction with strangers is a good example.
Why does Johnny feel frozen with anxiety when he considers the prospect of approaching the cute girl on the corner, flirting with her, and asking for her number? What is the risk to him? There is no physical or financial danger. Johnny's social status won't drop, because nobody need know about the rejection, and he will probably never see her again.
A story often told here is that in our ancestral environment, one or two rejections in a small tribe where everybody knows everything about everyone could be fatal to someone's prospects for reproducing. So most of us have inherited a strong anxiety about the possibility of rejection by potential mates. But this anxiety serves us poorly in the current environment. In a large city, Johnny could ask 15 women out on a date every day, get rejected 95% of the time, and end up with lots of dates and no major hit to his social status from all those rejections. Unfortunately, the chimp brain that mostly determines his actions doesn't know that.
I don't know if this story is true, but it makes some sense. In any case, the point remains that social interaction with strangers - for mating or other reasons - carries almost no risk. And yet we often feel as though there is a large risk.
Thus, social interaction with strangers is a domain in which we should be just trying things far more often than we do.
Self-experiment is another domain in which it is highly valuable to just try things.
There are others: taking classes and workshops for skills and hobbies, asking influential people for things, re-arranging your personal environment, etc.
No, seriously. Just try it.