Are they primarily on your upper arms and thighs? If so, it is likely a skin condition called Keratosis Pilaris. Here's some info about it: http://www.keratosispilaris.org
I have it and it's very annoying. Keys to treatment are exfoliation and lotions like the one Pugzilla mentioned. Try not to pick at it... that's MY problem.

If it's not that, I have no idea.