Most raw peanuts still have the skins, but occasionally you'll come across a recipe that calls for "skinless raw peanuts." First, the skins are edible, so it's really more your preference if you want to take the time to remove them. Second, I've yet to come across a recipe that was a failure because I didn't remove the skins from the peanuts. Because yes, sometimes I'm lazy and/or not willing to give up 30 minutes to de-skin a pound of peanuts.
But, if you still want to remove the skins, my preferred method is to freeze the shelled raw peanuts several hours or overnight; then remove a few at a time from the freezer, and slip the skins off with my fingers. You don't want the peanuts to get too warm, the skins will be difficult to remove - so don't hurry the initial freezing time and only work with a handful or two at at time.
You can also roast the peanuts in a 350°F over for 3 to 5 minutes, allow them to cool, then rub them between your fingers to remove the skins. OR you can blanch the peanuts a few at a time in boiling water for about 3 minutes, drain, remove the skins with your fingers, then spread on paper towel to dry.