Shawna and Isabel are right - it is genetic.
It's called Keratosis Pilaris. It's tough to tackle because most people don't realise you need to exfoliate AND moisturise to keep it at bay. If you only exfoliate or only moisturise, it won't be enough.
A physical scrub (i.e manual exfoliation) is not the best method when dealing with KP. It requires something that can dissolve lipids like a salicylic acid (BHA) body wash.
Constant maintenance is required or it just comes back.
More info can be found at:http://www.keratosispilaris.org/
If you're squeamish, be noted some of the pics on info pages may disturb you.