Most people have mild reactions to mosquitoes. When a female mosquito feeds, she injects saliva containing proteins and other factors that prevent blood from clotting. Some of the saliva and protein is left behind. These proteins can trigger an immune reaction that mobilizes cells of our immune system to aggregate at the site to remove the foreign protein. These cells create the raised red bump that we call a mosquito bite.
Occasionally, mosquitoes cause more severe reactions in some people including asthma attacks or in rare cases anaphylaxis. One of the more unusual occurrences happened to a TV news presenter in Taiwan, Huang Ching. While reading the news on air (video link), a mosquito flew into her mouth and became lodged in her trachea. The mosquito triggered an allergic reaction in her trachea, an asthma attack. The TV cut to commercial while Huang Ching was taken to the hospital. She quickly recovered and was released the next day.
Reflecting on her traumatic experience, Huang Ching reported,
I never expected a mosquito to have such a great power. It really gave me a bad day.