Mosquito bites itch because the glob of saliva the mosquito sticks there to prevent bleeding when it's done feeding is irritating to the body. My personal theory is that scratching the location will bring more blood to the area, which will make the nerves more sensitive, which will heighten the itching sensation. The best thing to do is think about something other than the bite until it goes away.

Only female mosquitos drink blood. Insert joke here.

Mosquito bite is also a slang term for a small breast or nipple.