Warning: GRAPHIC CONTENT
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Yes, I've been getting these for years, and my thighs are horrible scarred with big purple marks from where I've burst or punctured them.

Eventually I started getting them in my armpits and sides, so I went to a dermatologist. He gave me some really powerful meds that made me horribly ill (burning-itching whole body rash), so I stopped them.

My dermatologist says that these are common with obese people and that the only real way to improve them (other than meds) is a change in body morphology. ie. slim down and they should go away.

Let's hope that's the case!

BTW,
I think its brave for you to talk about this problem openly. People who don't have this don't know how annoying it is and how compulsive the urge to try to rupture these things can be.
They really are best left alone. I think you are tearing internal tissue when you try and fail to pop one. I get that "internal bursting" sensation too.