Here's a potential cause you guys may want to consider.
For a number of years now, I've been getting the occasional little egg-like fluid filled sac appearing on my fingers. (Tiny, appears in a couple of days, more appear in the same area).
It took a long time to figure out what was going on here, but eventually I found the cause. It's called Herpes Whitlow. I get coldsores occasionally, and I bite my fingernails. This gives the herpes virus an entry-point, and when an outbreak occurs, these little fluid filled blisters occur under the skin. For some reason it's my natural reaction to gnaw at them to get them out.
The first time I got this, I thought it was a wart, and shaved it off. At the heart of it was a capillary which had grown to fill the area (malformed, black because it had sealed off and congealed) - which looked like the black fibres that people are noticing.
Anyway... the punchline to this story is this:
Some of these cases could be a combination of other lesser-known dermatological symptoms. If you've ever had coldsores, or ever had genital herpes, and
especially if you bite your nails (or your cuticles like me), you might want to consider this as a possible cause.
If you do have any of the aforementioned combination of clues, try adding Lysine to your diet, and avoiding foods high in Arginine. See if the problem goes away or lessens. If it does, see your doctor for some acyclovir, and tell him that you might have Herpes Whitlow.
Another thing to consider would be Herpes Gladiatorum - which can be caused by skin to skin contact.
Both of these can present with symptoms such as burning and itching under the skin, and as the infections start at the nerve fibres, it would be as if you had something embedded in your arm.
Hopefully this will help some of the people here

For the rest - good luck. People are looking into this now. It'll be figured out eventually.
Si
ps. I'm not a doctor. This is not official medical advice. Just my own personal observations. Follow this advice at your own risk.