There are a few different ideas about the origin of this phrase. It comes from the days of yore (Friends reference) and it is important to note at the time the phrase was used, pudding was not merely the jello variety in chocolate and vanilla… but typically included meat, oatmeal, and other things. ( source ) The phrase, now, means that in order to know something well you have to experience it for yourself.
"We realized that the important thing was not the film itself but that which the film provoked." Fernando Solanas