If you want the science from experiments, you must either transmit it, or return the experiments to the surface of Kerbin. The experimental equipment itself doesn't actually have to make it back to Kerbin though; A kerbonaut can retrieve the data and store it in a command pod that's headed back to Kerbin. There are some restrictions to this, though: you can't store multiple copies of the same experiment/biome/altitude combination, and I haven't seen a way of removing research data from a mobile lab. As a side note, you can store multiple crew reports by performing an EVA, taking the data from the command module, and then returning to the module.
Your experiments also don't have to be attached to the capsule when you return ‒ you can recover experiments returned as debris by disconnecting a science stage from a capsule; however this may be impractical due to limitations of the game where after a certain threshold, debris (or even whole aircraft/spacecraft) will be unloaded when in atmosphere, but it does mean that you don't need to perform an EVA to retrieve the data.
Some science experiments also have a transmission cap where as little as 25% of the data can be transmitted back to Kerbin; eventually, experiments must be returned to max out available science. However, when return is non-trivial, taking the hit in transmission might be worth it (for instance, if the target is the surface of Tylo or Eve). Take a look at the science wiki page for more information.
