My objections to baking sausages have been that the heat required to brown them may cause them to dry up, and that the skins often get tough. Being dense, I didn't twig until I read a Jamie Oliver recipe that the obvious solution to the latter problem was to roll the sausages in the oil or fat (I use olive oil, mostly, and rub it over them with my hands) first.
My theory had been that frying sausages on the lowest possible heat was the best way to retain their tenderness and juiciness. But practice has not borne it out. Baking them at what would appear to be the dangerously high heat of gas mark 6/200C for 30 minutes, turning them once, works fine.
For previous - and possibly misleading - entries, start here.