Answer: Onchocerca volvulus microfilariae. These microfilariae are released from the adults which are confined in subcutaneous nodules (onchocercomas). The microfilariae then migrate throughout the dermis, causing intense itching and chronic skin changes. More debilitating is the eye involvement which leads to blindness; hence onchocerciasis is also known as "River Blindness." To confirm the diagnosis, these microfilariae could be fixed in alcohol and stained with Giemsa.
Also in the differential diagnosis is Mansonella streptocerca. This filarial worm also releases its microfilariae into the skin, but it does not cause severe disease and is restricted to Africa. If the skin snip was very bloody, then other microfilariae which are found in the peripheral blood must also be considered. This is why it is best to obtain "bloodless" skin snips. Giemsa staining of the worms will also allow for identification based on characteristic features of the microfilariae.
As Alasdair mentioned, this is typically thought of as an African disease. However, onchocerciasis is also found in Central and South America. Interestingly, the adult worms in South America tend to form onchocercomas in the head and neck region, whereas onchocercomas in Africa are classically located around the pelvis, abdomen, and knees. This is likely due to the biting preferences of the vector, the black fly (Simulium spp.).