I once dated a girl who said she had been very ticklish as a kid, but was tickled a whole lot, so had trained herself to not be ticklish. She wasn't kidding either, damn it all to hell! I'd have to surprise her to get a reaction, and even then, it was limited.
I think that people can build an immunity to it in the same way that people can build a resistance to certain types of pain. Most, I expect, aren't tickled enough to really feel the need to exert the energy necessary, so they don't.
It's almost a given that I'm wrong on this, but there's my two cents.