Bumps under my skin on my shins, should i be concerned?

See your doctor: Your doctor could see if it is infectious folliculitis or if you have atopic dermatitis. Depending on the circumstances of how it got there also affects how to treat it. It may be from an injury or a razor burn, .

Could be shin: Splints. If it is right at the skin surface, then it could be folliculitis or something of that nature. However, if it is deeper, say right on top of the bone, it could be shin splints. Are they ever painful, say like after a long run? If so, consider this and speak with you physician.