It's a scriptwriter's bottomless source for material.
Neil Simon is often regarded as a master of dialogue. People from diverse backgrounds, classes, and ethnicities remark that they know somebody just like one of his characters who says the same things. Obviously, he strikes deep chords of familiarity and understanding with his writing.
In the foreword to one collection of his plays, Neil states that he enjoys being the fly on the wall, lurking on the sidelines as people around him go about their business at parties or in public places where he can watch them and make notes.
It can be done anywhere, and usually with easy discretion. Most people speak with sufficient volume to be clearly heard within several feet. With some practice, one can learn to closely look at someone without appearing to be staring at them, by scanning a wide area or timing very close looks when someone's attention is focused elsewhere.
With laptop PCs, PDAs, or pen and paper, it's not unusual these days to see people intently writing. And if you're focused on your writing, people won't suspect that you may be taking down every word they're saying, or capturing a detailed description of their character.
One of my favorite pleasures of this is when I hear a snippet of conversation without having heard the preface to it. Sitting down at a restaurant, for example, and overhearing something like, "So her frog became a Republican," forces one to be creative in coming up with the conversation that led to such a statement.
Writing is capturing moments of life, molding those moments to your liking, and then surprising and delighting your audiences with your craftsmanship.
So keep some type of recording tool handy, and go forth to observe and capture.