What are these small pimples on my arms and thighs and there not red are itchy?

Rash: Although it's difficult to know, exactly without seeing it; this sounds like pilaris keratosis. This rash is usually located on the back of arms, and tops of thighs. Occasionally on the cheeks. It is a form of eczema. It's eczema of the hair follicles. You can try a loofa, and moisturizers. There are some other creams, that a dermatologist can prescribe, as well. It is harmless.