Skin
Shark skin feels like sandpaper because it has small rough placoid scales (also known as dermal denticles). As a result, it is often dried and used as a leather product or sandpaper. Placoid scales consist of a basal bony plate buried within the skin and a raised portion that is exposed. Dermal denticles are homologous in structure to teeth, and are what gives the skin a rough feeling.
Dermal denticles, as seen in this image taken from the dorsal fin of a porbeagle shark, are small tooth-like structures on the skin which form a protective barrier and aid in swimming.
Magnified images of porbeagle and spiny dogfish dermal denticles taken by scanning electron microscope. Images courtesy of Frank Thomas, MicroAnalysis Facility, GSC Atlantic.