I've always poked them, probably because my Mama always did.
From the interwebz:
Do you need to poke a potato with a fork before baking?
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December 27, 2007
You have to spend only one afternoon cleaning bits of potato from your oven to know that exploding tubers aren't an old wives' tale. Because of their tough skin and moisture content, these root vegetables build pressure inside as they're baked. Small holes in the skin are necessary to release that steam - just a few on both sides of the potato will do the trick.
For best results, place potatoes directly on an oven rack so that air can circulate around them. Wrapping spuds in aluminum foil traps the steam, resulting in less-crisp skins. When baking sweet potatoes, put a cookie sheet on the rack below them to catch their juices - it's no fun cleaning up that, either.