Why cannot we tickle ourselves? It seems that the brain ignores unimportant sensations, such as your own arm touching your belly, so that it can focus on more important stimuli (especially for people like KL), like a cockroach sitting on your neck;). A recent study detailed in the latest issue of the journal Current Biology confirms the results obtained by earlier researchers studying this question.

Tickle Tickle! (Courtesy: Association For Pastoral Care)In the study, 30 people used a finger on their right hand to touch a finger on their left hand by tapping a device place directly over the left finger and could instantly relay the tap. The computer-controlled device could introduce delays of varying length before the left finger was tapped. Researchers used another button to introduce externally generated taps. Result: when the brain was expecting the tap, it noticed it less :).
It confirms the theory that the brain is constantly predicting what is going to happen, and what sensations it is about to receive. It behaves so, because the information that our senses get are always a little out-of-date, and the brain has to extrapolate to get the most probable information. For example, when a ball is thrown at us, we predict where the ball would be in the next second, and our hands get prepared to catch it in that position!
So next time I meet you people (you know who you are!), get ready for some really awesome tickling :D:D.