Interesting, I rather think that elfriend actually gets close to the point...someone being tickled is clearly likely to react in a very energetic way, moving far more of his/her body much more quickly, perhaps spasmodically. Thus burning up more calories. But I'd imagine that this is safe only in short doses, and, as a result, probably ineffective.
A fiercely ticklish person (and I am talking about a violently ticklish person), would use far more energy in a very much shorter time period than most athletes might. Remember that at times most of the body is reacting violently in such people, where unrestrained, and even at times where restrained. I really do not know whether this is that healthy, over longer periods, due to increased blood pressure, and the fact that in most tickle cases, the tickling just "stops" with no "warm down". Few exercise enthusiasts will agree that this is really that healthy.
Also, wonders how many doctors/health fanantics actually recommend it. It would be interesting to see someone with a more informed medical opinion than I have.