In short, it's because your brain processes external and self-produced stimuli differently.
If someone tickles you, you feel that ticklish feeling, but when trying to tickle yourself, there is a reduction in the sensation. When you are tickled by someone, a part of your brain activates causing you to laugh, etc., but it seems that when you trying tickling yourself, your brain doesn't react the same way and that section of the brain does not activate as if someone were tickling you.
* Blakemore, S.J., D.M. Wolpert, and C.D. Frith. 1998. Central cancellation of self-produced tickle sensation. _Nature Neuroscience_ 1(7): 635–640. doi:10.1038/2870