I think it's because there's more nerve endings in the fingerprinty bits of your fingers. This means a) it's more likely to hurt and b) jabbing sharp objects into nerves tends to kill them eventually, and your thumb and forefinger would be where you need to be able to feel stuff most. I tend to go for either of the middle fingers, on the side. If i'm bruised from a series of tests i might try my little finger, but that one hurts if i'm not lucky. Also if you have an ajustable pricker/lancet device then dial the lancet depth down to the minimum, for the first 24hours i had mine most of the way to the max, and the nurse exclaimed
"My god! No wonder your fingers hurt! We only use that setting for brickies!"