Wow, I can't believe how many people use their teeth. You're going to be sorry in the long run.
I remember when I was a kid and one of my friends would always open the caps off of drink bottles (soda, water, juice etc.) with his teeth. The last time he did it was when his tooth not only chipped, but the pressure of the bottle made the cap fly off into his throat.
Anyway, the only two figures I've had problems with when it comes to hand pegs are OC Batman and DX TDK Batman. The rest were simple to swap and remove. You just gently rotate and twist them back and forth until they pop out of the hand or arm.