The bone in my elbow feels like it about to pierce through the skin and it hurts really bad, any idea what's wrong?

Some possibilities. This pain could be due to injury(did you heart yourself?) or from arthritis in the elbow joint. Is there any swelling around the elbow? Unless it is swelling up you could watch it for a few days. But a medical examination by a doctor is the quicker way to find out the cause. You could try some tylenol (acetaminophen) and see if it will take care of it. Otherwise you need an x-rays /medical check with your doctor.