I think that tickling requires a certain amount of surprise, and because tickling one’s self has no unexpected motion on the skin, there is no tickle response. A recent study by Blakemore and colleagues has investigated how the brain distinguishes between sensations we create for ourselves and sensations others create for us. They suggest that when a person tries to tickle him- or herself, the cerrebellum sends to the somatosensory cortex the exact information on the place of the tickling target and therefore what sensation to expect.
I guess to summarize, if you know exactly where you are going to be touched (if you try to tickle yourself) then the element of surprise disappears and you do not react in the same way as if you were tickled by someone else. I hope that makes sense. :)
