Many decision problems do not provide you with all the information, so EUT would be hard to apply. You continue this process with different gambles, and soon you will be able to plot your whole positive utility graph. You repeat the same with gambles about losses and thus plot the negative utility graph. In general, people will avoid sure losses as much as they can. As a result, sure gains are much more attractive, and sure losses much more unattractive, than even highly probable gambles.
People also treat very low and very high probabilities differently.
Just as EUT, however, it relies heavily on normed scales, especially money and probabilities. All experimental vignettes to test prospect theory make use of these normed scales, while most everyday decisions neither have an exact value nor an exact expectation.