Some of the worst ones are the tiny slivers of metal I get from plasterboard screws, hard to see and sometimes take a bit of digging out.
Yup those metal splinter from plasterboard screws are demons to get out, yet you can feel them everytime to run your hand over something. No hard and fast solution yet to avoid getting these, unless it's get someone else to do the plasterboarding.
I have found that magnesium sulphate paste will draw out almost anything (boils/pimples/splinters etc). It can be found in most chemists as a paste. Slap it on liberally and cover and see what happens in the morning.
This is my preferred choice if the digging it out with a pin doesn't work. I managed to get a glass splinters in my hands on two seperate occasions Both times I used this gel and both times it worked fine. Can't say I ever saw the glass splinter in the sticking plaster afterwards but the pain went away by the next day. In the base of my right thumb I have a splinter in there that nothing short of a boring tool could get out and trust me I did try digging that thing out. Time went along and it healed over. I suppose it's still in there but now covered in scar tissue or whatever defence the human body provides for dealing with foreign matter under the skin.
One thing I can highly recommend
not doing is drilling from the other side and pushing it out.
Not too far off the subject but I had a metal splinter got into my left eye. I felt it there whenever I blinked, so I was sent off site to the local emergency dept of Maidstone hospital which had a specialiased eye clinic there. They put in some eye drops with enlarged the pupil of my eye (my eyes resembeled David Bowie's for about 6 hours) and they put my head in a sort of opticians head frame and pulled the splinter out using an electro magnet. Instant relief. I was impressed with that.
Hope the thumb's better by the time you're reading this.