While we theorists do not perform experiments ourselves, we still need to pay close attention to what our experimental colleagues are up to. Observation is the ultimate test of any scientific theory. And we are in an exciting time of great potential experimental discovery!
It is the golden age of observational cosmology: As Andre Linde has put it, "the universe is approximately 14 billion years old. A hundred years ago, we did not even know that it is expanding. A few decades from now we will have a detailed map of the observable part of the universe, and this map is not going to change much for the next billion years" — Forward to Physical Foundations of Modern Cosmology, V. Mukhanov, Cambridge (2005).
Here are some links to contemporary and recent cosmology/astrophysics experiments:
(My experimental colleagues at Penn are participating in most of the experiments just listed. See: High Energy Physics Experiments at Penn.)
"There are theoretical physicists who imagine, deduce, and guess at new laws, but do not experiment; and then there are experimental physicists who experiment, imagine, deduce and guess." —R. Feynman, Feynman Lectures on Physics, Vol 1