It's not necessary to peel the potatoes, although I'll be the first to concede lots of people don't care for potato skins. Personally, I like baked potato skins at least as much as the rest of the fruitor vegetable, or whatever exactly it is.
I've been known to bake potatoes, slice them in half, scoop out the whites, mix it with sour cream and butter and whip it, and return it to the skins and bake them awhile longer with shredded cheddar and Hungarian paprika on top. I'm not sure those are actual mashed potatoes, but they're tasty.