I'm in the dig-it-out-with-a-needle camp, but at least I know that you're not supposed to do it that way....
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.
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.