A pimple is basically a battlefield where white blood cells are fighting against bacteria (the white stuff is mostly dead white blood cells).
White blood cells are made to fight inside your body. As long as the pimple stays closed they generally have the advantage, they can fight well and call for reinforcements – chemical weapons, more white blood cells, etc. Basically it gives your body control over the site. Once it is open to the air and dried out, they can’t get to the site anymore.
Of course, many bacteria are also more suited to a moist environment than a dry one, and they will usually die when the pimple opens. But there are other kinds of bacteria that can handle both environments. These often live on your skin (all over, but especially your fingers) and will invade the wound when it is opened; once the wound closes up the battle will begin again, which is why popped pimples very often come right back. There is also the possibility of breaking layers of skin underneath the pimple, in which case the invading bacteria will be able to get deeper and cause more problems.
Generally the best thing to do is to wait; once the battle is over the body will clean up the mess on the inside. If you must pop it, make sure to clean the site well, ideally with antiseptic to kill opportunistic bacteria that try to invade the site.
Also, don’t dry up that clear fluid that sometimes leaks into a popped pimple – white blood cells can live in this fluid and that will allow them to fight the invading dry-surface bacteria. If the area is dry the skin bacteria will be able to multiply unmolested and get a head start in the next battle.
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