A very simple answer why you prick sausages.
When the sausages get heated up, the fat content and also air pressure inside start to grow.
Pricking sausgaes allow the air and fat to be 'released', otherwise, the skin of the sausages will start to crack which eventually will result in losing more juice and 'fat'.
Yes, Pricking may lead to dry sausages, so you don't have to overdo it and also use the small toothpick to do it which will reduce the damages.
cooking.stackexchange.com/users/2951/Foodrules 
Here in Argentina is very common to bbq LOTS of sausages for big parties.
Just for reference: To ease the work of turning them, we usually hold them together with metal skewers, that also serve the purpose of draining the fat:
But if you don't prick them (besides of the aforementioned holes), they usually EXPLODE.
Note: here the skins are usually made from cow guts
cooking.stackexchange.com/users/2882/Dr. belisarius
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?
cooking.stackexchange.com/users/210/Sam Holder
I always do when pan-frying - it's astonishing how much fat comes out.
I prefer the resulting texture.
Barbequed sausages really can't be pricked much because of flareups, and I usually try to eat something else if I have a choice, because I find them too greasy.
Perhaps my "just right" is someone else's "too dry" - it's certainly true that pricking them makes a very noticeable difference.
cooking.stackexchange.com/users/304/Kate Gregory
I think the whole point of putting the fat into the sausages is having the meat cook in it.
I would prick them as little as possible.
cooking.stackexchange.com/users/1776/Neil G
If you prick your sausages, you are in the wrong.
It defeats the purpose of fat in there in the first place.
If you prick them, they dry out.
If the casings burst, you're cooking on too high a heat.
Cook on a lower heat for an extended time, and the casings caramelise...
oh mama!
Do not season with salt or pepper before you cook them, the salt will draw the moisture towards the surface, and evaporate during cooking.
Season AFTER they have been cooked.
cooking.stackexchange.com/users/26037/user49674
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?
Should I prick sausages during cooking?
cooking.stackexchange.com
<barbecue><sausages>
cooking.stackexchange.com/questions/8706
cooking.stackexchange.com/users/125/lomaxx
Pricking the sausages releases air and fat, which can prevent them from exploding. However, this also dries out the sausages and is unnecessary if you cook them at a lower heat. Some people prick sausages to stop them bursting on the grill whereas other people prefer low heat and avoid pricking to keep the juices inside.
Pricking the sausages stops them exploding on the grill. If you have to prick sausages then your grill is too hot. You should try to keep the juices inside the sausage.