If you want to ask some questions or see people try something you have designed, you need to meet them face-to-face.
An interview is a set of questions, created by you before the interview, asked to a user, in person.
You can ask follow-up questions; find out if your questions are confusing; give people tasks to complete; and get long, open answers to questions that might be harder to answer in writing.
You can also watch users and get nonverbal clues, and you can learn about things where time limits are built into the experience, like games, quizzes, or real-time messaging.
You can hand-pick the testers.
You are there, so testers might adjust their behavior and opinions to get approval from you.
It is harder to get real people to come to a place that is good for you, so you will usually end up testing with fewer users.
The social nature of a face-to-face interview is not good for embarrassing or private products and services, like that site you buy all your latex body suits from.
Introverted users probably can’t imagine anything worse than a face-to-face interview.
You need to test subjective stuff with many steps or decisions involved, like navigating around a site to select the perfect latex body suit. Or if you need to ask follow up questions depending on the user’s behavior, like “which ball-gag goes with that body suit, in your opinion?”