Lecture versus problem-based learning of psychology
There is a large amount of research of research that compares the effectiveness of problem based learning (PBL) with more traditional approaches such as lectures. Most of it stems from medical science education, and attests to the positive consequences of PBL (see the meta-analysis by Walker &amp; Leary, 2009). However, some researchers have questioned how rigorous this research is and others have doubts whether the benefits of PBL are worth its costs - as it can be quite resource demanding (for a starting point into this discussion and literature, see e.g., Pease &amp; Kuhn, 2011).

Furthermore, there seems to be much heterogeneity in the effectiveness of PBL (e.g., Walker &amp; Leary, 2009). Several meta-analyses have been conducted in an effort to explain these differences. A good starting point into the subject may be Strobel and van Barneveld's (2009) meta-review of PBL-meta analyses. Quoting from their abstract:


  Problem-based learning (PBL) has been utilized for over 40 years in a
  variety of different disciplines. Although extensively researched,
  there is heated debate about the effectiveness of PBL. Several
  meta-analyses were conducted that provided a synthesis of the effects
  of PBL in comparison to traditional forms of instruction. This study
  used a qualitative meta-synthesis approach to compare and contrast the
  assumptions and findings of the meta-analytical research on the
  effectiveness of PBL. Findings indicated that PBL was superior when it
  comes to long-term retention, skill development and satisfaction of
  students and teachers, while traditional approaches were more
  effective for short-term retention as measured by standardized board
  exams. 


[emphasis added]

If you are looking for research on PBL in psychology, the journal Teaching in Psychology may be worth a look. The journal is more of an outlet for publications on specific exercises and teaching-related resources ("hands-on-approach"). However, the proposed teaching methods and exercises (which could be often regarded as PBL) are usually compared to traditional approaches in small evaluation studies. Other than that there doesn't seem to be much research that looks into the effectiveness of PBL in psychology on a broader level.

References

Pease, M. A., &amp; Kuhn, D. (2011). Experimental analysis of the effective components of problem-based learning. Science Education, 95, 57–86. doi:10.1002/sce.20412

Strobel, J. , &amp; van Barneveld, A. (2009). When is PBL More Effective? A Meta-synthesis of Meta-analyses Comparing PBL to Conventional Classrooms. Interdisciplinary Journal of Problem-Based Learning, 3(1). 

Walker, A. &amp; Leary, H. (2009). A Problem Based Learning Meta Analysis: Differences Across Problem Types, Implementation Types, Disciplines, and Assessment Levels. Interdisciplinary Journal of Problem-based Learning, 3(1), 6-28.