You didn't mention if it seems seasonal or not, but here are some suggestions:
Check him over throughly for fleas. Especially near the tail, belly, face, and ears. Also look for what appears like black pepper flakes on the skin. That is flea feces and is usually easier to spot than fast moving fleas. If you see ANYTHING suspicious, start treatment right away by using Frontline, Advantage or some other serious flea product on the dog. Fleas can be transmitted via grass, other pets, wild animals and even your clothes.
If no evidence of fleas is found, try regular baths (every 1-2 weeks) in an oatmeal shampoo or another type of soothing shampoo. Let the shampoo sit for 15-20 mins before rinsing to get the full effect.
You can try over the counter Benedryl or ask you vet to dispense an antihistimine for you to give. Something like Chlor-mal, Atarax, or other med can be helpful at controlling the itch. Steroids like injectable DEpo-medrol and oral steroids like Pred, Medrol, etc, are very effective with allergies, however great caution must be used when these drugs need to be given long term, as they can have very serious side effects.
If these previous ideas don't help the situation, then I would consider allergy testing or a diet change to rule out a food allergy. Now a days with all the lamb and rice foods on the market, those are no longer considered hypoallergenic. For a true test of food allergies you need to go with Duck and potato, or Kangaroo and rice, or some other exotic mix. These are readily available at pet stores and are usually fed for 60 days to determine the level of improvement. Of course, during this time there are no treats, cookies, etc, just the dog food.
Hope this helps the itchy dog
Sheila