Whenever I go to a BBQ and sausages are cooking, the chef will always prick the sausages while they are cooking. I have no idea what this does, I assume it's to get the fat out, however I recently read that you should never prick sausages as it results in them being dry inside?  So my question is, should I prick sausages with a fork or knife during cooking? 
I'd say no never prick the sausages if you can help it.  the fat inside helps to keep them succulent and moist, and if you have a problem with the splitting and are pricking them to release the pressure as was stated by @foodrules, then I'd say you are cooking them over too high a heat.  Lower the heat, or if you are BBQing move them further from the source, then you will get to have unsplit, moist sausages.  When pan frying I prefer a very low heat for a long time.  This allows a delicious sticky crust to develop on the outside of the sausages. mmm...  If they were meant to be pricked why would they not come pre pricked? 