People get overly concerned about buying fish with the skin still on and often ask to have it removed. Leaving it on is better. When cooking salmon (as an example), cooking it skin side down will keep it moist. It will be less apt to dry out especially on the grill. Once the fish is done, the skin will come right off if you wish. Keeping the skin on also helps to keep it from curling up or falling through the grill grates. And remember, that healthy Omega-3 fatty acids are abundant in the skin.