It sounds like you have Keratosis Pilaris. I found a pretty effective treatment for this condition on this board several weeks ago, and have seen a vast improvement since I started this treatment. The one major rule is that you have to do it EVERY DAY, or it stops working.
In the shower, use Dove Nutrium Nourishing Body Wash with a loofah (not the natural kind since those hold bacteria, but an exfoliating cloth, or they sell these neat exfoliating gloves almost everywhere, I even saw them at the dollar store, and those work great). Scrub the problem areas really well. My bad spots are the backs of my arms, my thighs (front and back), and even my lower legs. When you get out of the shower, dry off and then apply Neutrogena Multi-Vitamin Acne Treatment to the trouble spots. It comes in a small white pump bottle, and I found it at Wal-Mart in the facial cleansing section. DO THIS EVERY DAY. I saw a difference in my skin immediately, especially on the backs of my arms. I also take a pre-natal vitamin every day, don't know if this helps or not, but my nails and hair are healthy from it.
I have really sensitive skin and suffer from eczema, so I can't go out in the sun, but I've heard that a half-hour of sun exposure late in the afternoon (when it's not so hot, and with sunscreen, of course) helps with the keratosis as well. For shaving, I've started getting my legs waxed, and that keeps the in-grown hairs and razor burn from being a problem.
The bad news is, they don't have a cure for this bumpy skin condition, and mine is about 80% improved, so I've accepted the fact that I'll never be smooth and perfect. But you can make your skin feel softer and smoother to the touch with this treatment.