Often you can remove thorns with a very fine sewing needle. You gingerly insert it in the hole the thorn made, slide it along the side of the thorn and then try to lever it out.
I got a tiny bit of steel wool in my wrist for almost 6 years now. I've tried a dozen times to get it out but it's stuck so deep that I can't even reach it with a scalpel. It doesn't hurt, though, and maybe in a few years it'll grow out. Or maybe I'll just try a narrower blade
Most ridiculous injury I suffered: I got bitten by a rat and the scar looks like a grumpy smilie: : (