Diary studies - also known as cultural probes - are usability studies undertaken over longer periods of time and involve the participant self reporting.
I've been considering running a diary study, so did a little research into the advice and case studies available.
A good starting point if you've never heard of diary studies before is a quick question & answer page by Australian usabilty company Information and Design.
Cultural probes overview by Information and Design
Web design website A List Apart published a slightly longer but equally useful introduction.
Inside Your Users’ Minds: The Cultural Probe - article by Ruth Stalker-Firth for A List Apart
A commonly referenced case study is a report done by Microsoft in 2004. Longer and more detailed, it gives a good overview of their methodology, as well as reporting on their findings.
A Diary Study of Task Switching and Interruptions - report by Mary Czerwinski, Eric Horvitz, and Susan Wilhite for Microsoft Research
In recent years, a range of free online tools have become available making diary studies easier to administer. Google Docs and blogs seem to be the most popular choices.
A colleague at the University has recently conducted a diary study of students using library search facilities. She's produced a great write up both of her methodology and her findings.
UX2 Diary Study - report by Liza Zamboglou