Perhaps you've moved up to the finer grits of sandpaper too quickly? As an extreme example, lets say you sanded with 40 grit paper and then moved directly to 2000 grit skipping everything in between. You can sand for as long as you want with the 2000 and you're still going to have huge imperfections left over from the 40 grit paper. Ideally, you'd use every grit between 40 and 2000 in order to obtain the smoothest finish possible in the least amount of time. Skipping grits can work, but I generally find it requires more time.
If you're sanding with 1500 grit and the surface isn't already glass smooth with no visible imperfections, then I'd say you probably didn't sand long enough with one of the coarser grits. The only solution may be to go back to a coarser grit, sand away the divots, then proceed back through the finer grits. Then move on to rubbing compound and polish.
If you don't already have one, get a light you can shine across the surface you're sanding at a very low angle. This really helps you see the scratches in the surface left by sanding, which will let you determine when you can proceed from one grit to the next.