I think what is happening is that when someone else does the tickling, although we may know it's coming we don't know what exact details to expect. For example,

I think what is happening is that when someone else does the tickling, although we may know it's coming we don't know what exact details to expect. For example, will I tickle you lightly or firmly, and in what exact spot? Will I wriggle my fingers? How long will I persist? When we tickle ourselves not only do we know it's coming, but our brain can answer any of those questions, so it's really difficult to not anticipate any resulting sensation.