I remove the fat for more bark formation, some will go fat side down depending on the smoker and some just throw it on any which way, as (BlueFrog points out)
Sometimes its just preference (as Bmudd14474 stated) and other times there's a reason, such as fat side down to protect the meat in some smokers, as (Bear pointed out).
I believe the theory on fat side up, when its just preference is, its self basting but IMHO I think there's enough fat throughout to make this unnecessary, again my opinion only.