Milgram's experiment and the limit of psychological experiments

Milgram was a psychologist who did an experiment to check what was the influence of an "authoritarian" person on people's behavior. The experience consists on a memory test: One person tells a words line and other person (an actor) has to repeat it. Each time he/she fails, the "speaker" send a volt discharge to the one who failed, and every time elevate the voltage. Sometimes the "speaker" doubts, but then, a person with a white coat (like a scientific) tells him "It's safe", "Continue", and things like that, and then the experiment continued.
The results had a signification: 65% of the "speakers" "killed" the actor because of his errors. I think that people was too influenced by others. Does that mean that people doesn't think by themselves?

Well, this was actually an experiment that tried to find an explanation for the Holocaust, and it did. You can see a representation of the experience on the film "I comme Icare" (1979):