If you pierce your skin with a thorn, needle, or similar sharp object, you prick your skin. The mark it leaves on you is also called a prick.
You can also use prick to describe the sensation of tears welling — your favorite sad movie might make tears prick your eyes. Your conscience can prick you as well, when it makes you feel uncomfortable about something. Prick is also a vulgar term for a man's penis and a way to address someone (usually a man) who is acting like a total ass. It is best not to use these terms in polite company.