V.W.
I like to try using tape first. :)
You know, just dry the skin really well, apply strong adhesive tape and pull it off. Sometimes it will catch the edge of the splinter and pull it out.
I also have read that soaking the afflicted area in warm water can help, too. The splinter itself (wood?) will absorb moisture from the water expanding it, and that can sometimes cause it to protrude enough to grab the end of it.
I hate splinters.