Video: Having a splinter stuck in your skin can be quite painful. The good news is that you can remove most at home, without going to a doctor. The bad news is that you can cause more damage if you don't know the right way to do it. The American Academy of Dermatology (AAD) has clear instructions, complete with a video, on what to do and what not to do. The most important points to remember are to pull the splinter out in the same direction it entered, never squeeze it (because it might break into smaller pieces) and to clean the area and apply petroleum jelly once it's out.
The AAD also tells you the right tools to use and what to do before and after, as well as when you should see a doctor instead of attempting to remove the splinter at home.
How to Remove a Splinter [American Academy of Dermatology]