As Whtroze suggested, making an appointment with the vet is what you need to do. The vet can tell you if this is merely a case of dry skin or if there is some deeper cause for the itching.
It's winter in many places right now and people have their heat on in their homes. I know that I myself am dealing with dry skin right now from having heat on and it IS itchy! Is this something that has just started since the cold weather arrived (IF it's cold near you)? Or is this something that has been ongoing?
Something to keep in mind is that just because you don't SEE a flea or fleas on your dog doesn't mean he hasn't been bitten by one. Fleas don't live their lives on animals, they seek out animals when they are in need of a blood meal. Some animals are so sensitive to flea bites that all it takes is one bite and they are off and scratching. I have a cat like this. He just turned 16 (today, in fact, HAPPY BIRTHDAY EUGENE!) and for his whole life, I KNOW when he has come into contact with a flea because he will just start to get real ratty looking, he'll have a scab or two on his neck from scratching, and upon inspection he has NO FLEAS. But we also have a dog who has to go outside several times a day and it's invariably the method by which the occasional flea will find its way into the house. One bite on Eugene and that's all he needs. I use FrontLine Top Spot on him and within about 30 days his hair is perfect again and he's no longer scratching. Have you tried a flea preparation on him just to make sure?
For your sake, I hope it's not a food allergy. Food allergies are some of the toughest things in the world to figure out and it can take months or even years of trying different foods and supplements to bring about a fix. Hopefully this is something that can be treated with a medicated shampoo or some Omega oils in the food. Please let us know what the vet says.
Ghilly
I would make a visit to the vet. Itching and irritation can be caused by tons of things. Dry air, allergies (environmental, nutritional, internal), parasites (fleas, mites, mange, etc), infection, exposure to an irritant or toxin, or disease....and the list can continue. Treatment varies greatly depending on the cause.