The utility knife that Knives mentioned work fine, and they're pretty cheap at the hardware store, but I tend to have roofing tar or the like on any of the ones I have (and the snap blade knives I don't want to disassemble to clean after using for food)
I've only done it for ham, so I don't know if other parts are worse to cut through, but I just use a paring knife. As I don't put them against a cutting board very often, they keep their edge. I even use one of my less expensive knifes (Wustof Silverpoint), because it's got a thinner blade). I don't hold it by the handle, though -- I pinch either side of the blade, and let just enough of the tip be exposed to cut to the depth I want.
Don't use a "micro-serated" blade for this, it grabs too much and will make a mess. I don't even know that you'd want a serated blade, just a good, sharp, small knife.