hmmm I've wondered that before. And now there's an anwswer thanks to Ask Yahoo!.
If you haven't ever read any Ask Yahoo!, you should, you'll like it. Somebody (like you) submits a question to Ask Yahoo!, and they answer one every day. They get questions about everything under the sun and they usually seem to know what they're talking about when answering those questions. :)
So, Why does scratching an itch make it stop?
"the general theory is that scratching provides a "counterirritation" that distracts the brain from the original itch" - Ask Yahoo!
Huh, who would have though. Amazing really.