Think aloud Protocol - popular technique used during usability testing

The Think Aloud Method consists of asking people to think aloud while solving a
problem and analyzing the resulting verbal protocols.
Think Aloud (TA) studies provide rich verbal data about reasoning during a problem solving task. Using TA and protocol analysis, investigators can identify the information that is concentrated on during problem solving and how that information is used to facilitate problem resolution. From this, inferences can be made about the reasoning processes that were used during the problem-solving task. In the past, the validity of data obtained from TA studies has been suspect because of inconsistencies in data collection and the inability to verify findings obtained from the slow, laborious process of protocol analysis.

Think-aloud protocols are of particular value because they focus on the problems a user has; when the user is working without difficulty, direct observation is of very limited use. Use this technique in any stage of development. Thinking aloud is a cheap way of getting a lot of good qualitative feedback during testing.
Main advantages of this method are :
- High degree of flexibility.
- Presence of two people allows meaningful, direct dialog.
- Rapid, high-quality, qualitative user feedback.

How do I do Thinking aloud Protocol?
Provide your participant with the product to be tested (or a prototype of its interface) and a scenario of tasks to perform. Ask participants to perform the tasks using the product, and explain what they're thinking about while working with the product's interface.
Thinking aloud allows you to understand how the user approaches the interface and what considerations the user keeps in mind when using the interface. If the user expresses that the sequence of steps dictated by the product to accomplish their task goal is different from what they expected, perhaps the interface is convoluted.

Although the main benefit of the thinking aloud protocol is a better understanding of the user's mental model and interaction with the product, you can gain other benefits as well. For example, the terminology the user uses to express an idea or function should be incorporated into the product design or at least its documentation.