We use our fingertips to feel things mostly because if you were to squeeze a piece of fruit in the grocery store with your toes, you would be kicked out of the store. Similarly, touching a soft blanket with your kneecap isn't likely to give you good feedback about how soft it is. And were you to touch a member of the opposite sex with your gluteus maximus, you would very likely find yourself in jail.
Your fingertips have a very high number of sensory receptors relative to other parts of your body. This makes sense as your hands are the only part of your body specifically adapted to grasping and picking up objects. It wouldn't be very useful if your shin had more sensory receptors than your fingers - you'd have to rub your leg up against a pot on the stove before picking it up if you wanted to know if it was too hot to touch. That's just not something most of us are flexible enough to do without straining a muscle.
There are at least twenty known types of receptors on your fingers. Of these, four types are the most important. They are all located in the dermis of the skin, which is the layer just below the outermost layer of skin.
The four types of sensory receptors in your fingers are; pressure (of which there are numerous sub-types), pain, cold and heat. Of these four, pain are the most numerous, as I'm sure you are aware if you've ever slammed your finger in a car door. Also notable are vibration sensors, although these are not quite as important as the other four.
Each of your fingertips contains over one hundred distinct touch sensors, making in one of the most densely packed areas in your body. Your lips, face, hands and tongue are also filled with many sensors. Interestingly, the lower part of your middle back contains the least number of receptors - something that isn't obvious if you are a fan of a good back massage.
Related to the sense of touch is another sense known as proprioception. This is the ability of someone to know where your limbs and body parts are in relation to each other without having to actually see them. If you close your eyes and put your hand above your head, you just ~know~ it's there even though you can't see it. This sense is related to touch, but not fully understood. Certainly neurological problems can lead to the loss of proprioceptive sense. If this happens someone (hopefully your doctor) could wiggle your finger and hold it in different positions while your eyes were closed and you would not be able to tell what position it is in. Sort of bizarre, but true.