The objectives of this review are to articulate geospace, heliospheric, and astrophysical plasma physics issues that are addressable by laboratory experiments, to convey the wide range of laboratory experiments involved in this interdisciplinary alliance, and to illustrate how lab experiments on the centimeter or meter scale can develop, through the intermediary of a computer simulation, physically credible scaling of physical processes taking place in a distant part of the universe over enormous length scales. The space physics motivation of laboratory investigations and the scaling of laboratory plasma parameters to space plasma conditions, having expanded to magnetic fusion and inertial fusion experiments, are discussed. Examples demonstrating how laboratory experiments develop physical insight, validate or invalidate theoretical models, discover unexpected behavior, and establish observational signatures for the space community are presented. The various device configurations found in space-related laboratory investigations are outlined.