That's called ingrown hairs. Your tendency to do this is different for everyone.
The curlier your hair is, the more prone you are to this.
When a hair is plucked, it has to regrow from down deep.
Sometimes it doesn't come to the surface properly, then it's ingrown.
This can be a trivial problem or a large source of irritation.
Try scrubbing your skin, this allows the hair to break on through.
In single cases you might even pick at the hair a bit with tweezers to help it.