Geophysical and astrophysical fluid dynamics (GAFD) is an interdisciplinary field. It encompasses a wide range of fluid systems, from planetary atmospheres and the oceans of Earth and icy moons to the interiors of telluric planets, giant planets, and stars. It also spans vast timescales and space scales. Despite this diversity, GAFD is built on common challenges in fundamental fluid mechanics, requiring a multi-approach strategy that integrates theory, simulations, and experiments to explain observations. This review highlights the role of laboratory experiments in GAFD. We first emphasize recent advances in experimental design, methods, and metrology, including large-scale facilities as well as innovative and analog setups. We then focus on two areas where experiments have driven recent breakthroughs: rotating turbulence and flows involving multiphase and phase-change processes. Finally, we discuss emerging challenges and the potential of outreach experiments to stimulate interest in fluid mechanics among students and the public.