Split and Grill: One method is to cut the sausage lengthwise about 80% of the way through, so you can fold it out and lay it flat. This is a great way to get the insides cooked quickly because you can lay it skin side up; at least the skin won't dry out. Of course you are opening up the sausage to let the juices drip out. While this might be a leaner way of cooking, it tends to dry out the sausages and leave them a bit lacking in flavor. If you are cooking a recipe that calls for sausage, like a jambalaya then I say, go for it, otherwise don't bother.
Boil and Grill: Another way to grill sausages is to parboil them first. In fact there is a great recipe that calls for boiling sausages in half water, half beer before you put them on the grill. If you add something to the water to enhance the flavor then this can be a great way to get sausages partially cooked before they hit the grill, but if you use plain water you will be pulling flavor out of the sausages. To parboil first, drop sausages into boiling liquid long enough to tighten the skin. When you pull the sausages out the fat inside should be just starting to liquefy. Next, place the sausages on a hot grill over a medium low fire and finish cooking. This method gives you juicy sausages and is a popular way of grilling them.
Straight Grilling: Of course you can place sausages right on the grill and cook them the old fashioned way. The biggest problem is that people use a high heat and burn the surface before the middle gets cooked. The other problem is that when a sausage cooks it leaks juices that can cause flare-ups and add to the burning problem. To eliminate the burning and the flare-ups you need to keep the fire low. This increases the cooking time, but lets the sausage cook gently and hold in its flavor. Some people will tell you to puncture the skin, but this will just let the juices out to start more fires. Keep the sausage casing intact and the heat low.