Most, if not all, people are sensitized to mosquito bites in childhood. Cutaneous symptoms include immediate wheal-and-flare reactions and delayed bite papules, which tend to be more severe at the onset of the mosquito season. Systemic reactions to mosquito bites are, however, very rare.
Recent immunoblot studies have demonstrated IgE antibodies to Aedes communis mosquito saliva 22 and 36 kD proteins. This confirms that specific sensitization occurs in man and indicates that mosquito-bite whealing is a classic type I allergic reaction. The delayed mosquito-bite papules seem to be cutaneous late-phase reactions mediated by eosinophils or they could also represent type IV lymphocyte-mediated immune reactions. People living in heavily infested areas such as Lapland frequently acquire tolerance to mosquito bites, and seem to have negligible levels of IgE but high amounts of IgG4 antisaliva antibodies. Desensitization treatment is a theoretical possibility but prophylactically given cetirizine, an H1-blocking antihistamine, has been shown to be helpful for people suffering from mosquito bites.
More info: http://www.ncbi.nlm.nih.gov/pubmed/7946248