Closed, usually. The only reason I can offer for that is that the closing of one’s eyes obviously eliminates the sense of sight, which forces one to focus primarily on the texture, warmth, and actual physical aspect of kissing.
I’ll open my eyes to catch a quick look at my boyfriend’s face. (Or to ensure that the door’s still closed). Occasionally, it’s rather interesting to kiss while looking at each other; very intense, either before the kiss or during. Going the open-eyed route can be kind of funny if you’re in a not-so serious mood and just screwing around.
Almost always closed. Once in a while, I open them - it’s hard to see anything from that close anyway. But curiosity being what it is. 
Why is it rude to stare? 99.9999% of the time you’re kissing, the other person’s eyes are closed anyway - they wouldn’t know you’re staring. But I’d say go with shut anyway. It does help you focus on the mood.
Keep your eyes open when you kiss: do: when
You kiss. All silly time else, close them to;
Unsleeping, I implore you (dear) pursue
In darkness me, as I do you again
Instantly we part … only me both then
And when your fingers fall, let there be two
Only, ‘in that dream-kingdom’: I would have you
Me alone recognize your citizen
Before who wanted eyes, making love, so?
I do now. However we are driven and hide,
What state we keep all other states condemn,
We see ourselves, we watch the solemn glow
Of empty courts we kiss in … Open wide!
You do, you do, and I look into them.
–John Berryman
Depends on what I’m kissing.
Well, having one’s eyes open doesn’t automatically equate to staring. But, I did once open my eyes, while kissing a woman, to find her staring at me. I don’t know about rude, but it sure was freaky!
You found a guy who’ll tolerate that? I’d suggest you marry him. Your lips would never make contact with mine, once I saw those thumbs coming for my eyes. Ever!
I’m another “sometimes” kisser. As many folks have said, it depends on the situation. Thinking about it, though, I’d have to say I rarely close them tightly, while kissing.
Eyes closed, usually. If my eyes are open, I see his eyes as blurred together and he looks like a cyclops. Then I have to laugh and it ruins the mood if we weren’t being silly before.