I have a lump under the skin near my anus. what could this be?

Pilonidal sinus: There is a good chance it's a pilonidal sinus, particularly if it hurts. A substantial percentage of pilonidals resolve spontaneously; but it takes a long time. If you don't want to wait, or the pain level is too high, surgery is the best option. It's a fairly simple operation, but usually done in the hospital. Be aware that recurrences are common, even after surgery.