I grill almost all of my fish with the skin on because that gives you real protection at least on one side. It's a nice barrier against super high heat which tends to make a lot of fish to turn really flaky. It's very easy to overcook fish on the grill. But I still brush it with oil before I start.
Alton BrownThe skin is forming because of proteins, just like if you cook milk or anything else that's got a coagulant protein in it.
Alton Brown