If you grill the chicken with skin, the fat that is attached to
the skin will "baste" the meat keeping it moist while cooking.
Also, if you burn it you can pull the skin off and the meat inside
will be fine.
When grilling chicken without skin, be sure to spray the grill
rack with cooking oil (do this before you light the grill, it will
flame up if you do it to a hot grill) and turn the chicken a couple
times as soon as it goes on the rack so it wont stick.
Either method works well depending on the recipe and what flavor
you are trying to get.