The glass transition is the most enduring grand-challenge problem in contemporary condensed matter physics. Here, we review the contribution of colloid experiments to our understanding of this problem. First, we briefly outline the success of colloidal systems in yielding microscopic insights into a wide range of condensed matter phenomena. In the context of the glass transition, we demonstrate their utility in revealing the nature of spatial and temporal dynamical heterogeneity.We then discuss the evidence from colloid experiments in favor of various theories of glass formation that has accumulated over the last two decades. In the next section, we expound on the recent paradigm shift in colloid experiments from an exploratory approach to a critical one aimed at distinguishing between predictions of competing frameworks. We demonstrate how this critical approach is aided by the discovery of novel dynamical crossovers within the range accessible to colloid experiments. We also highlight the impact of alternate routes to glass formation such as random pinning, trajectory space phase transitions and replica coupling on current and future research on the glass transition. We conclude our review by listing some key open challenges in glass physics such as the comparison of growing static lengthscales and the preparation of ultrastable glasses, that can be addressed using colloid experiments.