"What are you going to do? Bleed on me?"
Reflex bleeding (autohaemorrhaging, if you want the precise scientific term) is a defensive action performed by some invertebrates, mainly insects of the Coleoptera order. It involves the exudation of an amount of hemolymph from the insect's body with the aim of repelling predators. Insect families known to have at least one species that reflex bleeds include Coccinellidae, Meloidae, Chrysomelidae, and Lampyridae. In some species or genera, the larvae may reflex bleed as well as the adults. Some toads use a similar form of defence, which is not exactly reflex bleeding.
Now, most members of the Animalia kingdom use blood of some sort. If it repels predators, the particular creature's blood must have something pretty distasteful if it is to spoil the appetite of a hungry spider or wasp. Reflex bleeding must therefore involve blood with a certain je ne sais quoi (and do not want to know). The effect on the predator or on innocent bystanders may be from simply foul to fatally poisonous. The nasty substances employed vary from species to species.
The reflex bleeding that humans may come across usually is that of the Coccinellidae. Many ladybugs do it with more or less stinky results. This is probably less due to the beetles bleeding a lot and more due to the fact that humans have a penchant for handling them. While their juice may be an irritant and allergen to humans, it really has no serious effect unless ingested, in which case it may prove to be corrosive. Ladybirds bleed from their leg joints and their hemolymph is yellow and may include any of several unpleasant alkaloids.
The Spanish Fly, one of the blister beetles (Meloidae), is popular and mythical due to its cantharidin, which is a vesicant that can make life very unpleasant. Its side effects include priapism and death. Blister beetles are poisonous, some more than others, and got their name from the fact that handling them can results in noticeable skin irritation.
While reflex bleeding has evolved to be a potent defensive mechanism, in at least one case it's met with massive failure. Male fireflies of the Photinus genus follow the blinking lights when looking for love. They're also pretty secure, knowing that jumping spiders, birds, and other wannabe diners can be turned off by their nasty reflex bleeding. Sometimes the horny Photinus will discover (too late!) that the alluring blink comes from a female of the Photuris genus dressed up as one of his own. This female will make a snack of the male Photinus for his, um, delicious lucibuphagins. Having absorbed the chemicals, she can then smugly say boo to spiders, secure in the knowledge that she's as noxious as she is obnoxious.
Like all chemical defences, reflex bleeding can carry a price tag. The cost to the animal has not been studied much except in the case of Harmonia axyridis, the Multicoloured Asian Lady Beetle that invades structures in autumn. Two studies suggest that reflex bleeding only incurred a noticeable cost if it was frequent during late larval stages, in which case it resulted in slower development and a lower adult body weight. Kind of like smoking.
Reflex bleeding is often accompanied by aposematism since the beetles would rather send an I-taste-bad note to prospective eaters than poison them after being eaten. Ladybugs are not a pretty red for our pleasure--it's a message. Predators, you've been warned. You wanna taste of this?