It's hard to know exactly what it is. Bogey has a lump on his leg that when squeezed forces out a thick, creamish colored, cheesy-like substance. The vet says it's a type of cyst that's more of a nuisance and can be removed the next time he's "under" for dental cleaning. I try not to squeeze it, but do occasionally. If I do, I always wet it thoroughly with hydrogen peroxide then Polysporin ointment for a few days after.
Probably best to let your vet take a look at it to make sure it's not something serious.