Another mystery explained.

from Scientific American:

The answer lies at the back of the brain in an area called the cerebellum, which is involved in monitoring movements. Our studies at University College London have shown that the cerebellum can predict sensations when your own movement causes them but not when someone else does. When you try to tickle yourself, the cerebellum predicts the sensation and this prediction is used to cancel the response of other brain areas to the tickle.