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Chicken breast is a great source of lean protein, because it is a lean meat it tends to become dry if cooked without the skin. Leaving the skin on while it cooks helps to retain the moister and prevents the meat from drying out. If you really want to remove the skin, do it after cooking. The skin will give a degree of protection to the meat during the cooking process and the fat will help keep the meat moist.
Much better value to buy with skin on if you are on a budget.