Recent developments in the study of ultracold Rydberg gases demand an advanced level of experimental sophistication, in which high atomic and optical densities must be combined with excellent control of external fields and sensitive Rydberg atom detection. We describe a tailored experimental system used to produce and study Rydberg-interacting atoms excited from dense ultracold atomic gases. The experiment has been optimized for fast duty cycles using a high flux cold atom source and a three beam optical dipole trap. The latter enables tuning of the atomic density and temperature over several orders of magnitude, all the way to the Bose–Einstein condensation transition. An electrode structure surrounding the atoms allows for precise control over electric fields and single-particle sensitive field ionization detection of Rydberg atoms. We review two experiments which highlight the influence of strong Rydberg–Rydberg interactions on different many-body systems. First, the Rydberg blockade effect is used to pre-structure an atomic gas prior to its spontaneous evolution into an ultracold plasma. Second, hybrid states of photons and atoms called dark-state polaritons are studied. By looking at the statistical distribution of Rydberg excited atoms we reveal correlations between dark-state polaritons. These experiments will ultimately provide a deeper understanding of many-body phenomena in strongly-interacting regimes, including the study of strongly-coupled plasmas and interfaces between atoms and light at the quantum level.