There are many myths about mosquito bite cures, like using banana peels or toothpaste.
The difference in pain is due to the way each insect obtains blood. Mosquitoes have mouth parts that are highly modified for piercing; they have a sharp proboscis, a prominent tube-like part that extends from their head and houses organs known as stylets which work like hypodermic needles to penetrate the skin and suck up your blood.
One of the difficulties in this research was getting the creatures to bite like they really meant it, despite the fact that the pole was clearly not edible.