I just read an article in a magazine I happened to grab on the newsstand today, and it said these are boils. It said to soak three times a day with salt water on a washcloth until they burst, and then put an antibiotic cream on it three times a day. Frankly, that sounds like pretty mild treatment for something that hurts a lot, but that is what the doc in the article prescribed.
I get these allll the time...and THEY HURT!!! I have been told that they are sebaceous cysts. I was told that I should not use anti-perspirant because the aluminum in there causes the blockage. However, plain deoderant doesn't do it for me as I hate having the wet sweaty feeling. So, I continue to use anti-perspirant, and I continue to get the bumps. They probably started when I was 14 or so, and I am almost 30...I don't think it will stop :-(
If you can get away with using just a deoderant, try that. See if it helps to not use the anti perspirant.
It can also be an ingrown hair. I get those too. Check and see if you see what looks like a hair in there.
If neither of these solve the problem, ask your doctor for recommendations.
Blocked sweat gland that got infected? I'd make an appointment and go see your doc.