We never boil them first and neither does my brother (who makes the best brats!). Of course, we like them browned on the outside, so keeping them on the grill extra long to make sure they are cooked through, is not an issue.
My Dad tells me it helps to get rid of some of the fat so when you put them on the grill you have less of a chance of the fire flaring up due to the grease dripping. Plus, healthier (which is hard considering it's a brat). My Dad used to be a butcher so the one thing he knows is his meat.