Excellent question!
The Sun is actually a pretty ordinary star as far as astronomy goes, but it is special because it is close enough that we can study it in great detail. We can (and have) learn a lot from studying it remotely (telescopes both on Earth and in space, viewing the Sun in different wavelengths like x-rays, ultraviolet, visible, and radio), by capturing the particles (like solar wind and solar energetic particles) in space and analyzing them, and measuring the magnetic fields from the Sun that stretch out into space where we have spacecraft.

However, there is a lot going on that we're too far away to see with our telescopes and many things happen to the particles and fields on their way from the Sun to our spacecraft near Earth which makes it really hard to figure out exactly how they are formed and how they change. Getting closer to the Sun helps with all of those things, but it is really hard.

The Parker Solar Probe has gotten the closest to the Sun of anything humans have ever made, but a lot of special engineering went into designing and making it so that it could survive being that close (it gets really hot, really quickly). The spacecraft has a special heat shield that all the instruments and most of the spacecraft hide behind so they don't melt. You can read about that here: https://www.nasa.gov/feat...ker-solar-probe-melt