Write What You Know? Really?

One of the oldest sayings about writing is "write what you know."  Its originator is unknown.  Is this good advice, or bad?

This much is certain; it's a lucky thing some great writers didn't actually follow that advice.  For one thing, we never would have had any science fiction or fantasy, since no writer has gone through the experiences of characters in those sorts of stories.

Or have they?

In one sense, all characters encounter problems and experience emotional reactions to those problems...