Deeper understanding of memristive behavior is the only safe way towards maximum exploitation of the favorable properties and the analog nature of this new device technology in innovative applications. This can be achieved through experimental hands-on experience with real devices. However, lab experiments with memristors are a challenging step, especially for the uninitiated. In this direction, this paper presents some important considerations to carry out reliable measurements using an experimental setup composed of off-the-shelf components and an affordable data acquisition system. We specifically show how a transimpedance amplifier can be used to protect the memristor from damage via current compliance limiting, and allow full control over the voltage drop on its terminals. Using the proposed setup, a set of key experiments were carried out on commercial memristors from Knowm Inc., revealing fundamental dependencies of memristor state-tuning properties on the characteristics of the applied pulses and the initial conditions of the devices.