On today's Moment of Science, I will selflessly subject myself to both a mosquito bite and a horsefly bite to see which one is more painful. Hmm! the mosquito bite itches, but it's more annoying than painful. Ouch. Now that really hurts.
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. Mosquitoes keep these stylets in place using special lip-like parts known as labellae.
Horseflies, on the other hand, have mouthparts that function like blades. They use these mouthparts to cut--rather than pierce--through the skin. Then, while your blood oozes out, the horsefly laps it up using its own specially modified version of labellae.
What it all comes down to then is that a horsefly bite is more painful because slashing damages the skin more than piercing. Another reason the mosquito's bite might be less painful has to do with the density of pain receptors on the skin. A small stick is more likely to land between receptors. So given a choice--and based on my own experience here today--if given a choice, choose the mosquito bite. On the other hand there's that West Nile virus thing with mosquitoes.