According to Harold McGee, food science expert, the skin on poultry is about 50% water, 40% fat, and the rest is connective tissue. In the heat of the oven, the connective tissues dissolve, the water evaporates, and the fat begins to render. What's left behind becomes wafer-thin and crispy.
Lot's of methods exist for getting crispy skin. Two of the most agreed upon seem to be getting the skin as dry as possible before cooking and then oiling it just before putting it in the oven. Air-drying means that there is less surface moisture to be evaporated before the water in the skin can start evaporating and the oil works as a heat conductor.
It's worth noting that not much of the fat from the skin actually penetrates into the meat (according to several of our cookbooks). The skin acts as a shield, holding moisture inside the meat and protecting it from the direct heat of the oven. So even if you don't end up eating it, leave the skin on during cooking for a more tender and juicy roast.
What's your favorite method for getting crispy skin?