Bed Bugs.
Sure, people complain about mosquitoes - but mosquitoes are easily taken care of with DEET and a few other repellents. Their life cycle is easily interrupted with other mosquitoes that don't harm humans, fish, putting oil on the still water, etc. etc. etc.
Bed Bugs, on the other hand, are hearty bastards that survived every pesticide humans could devise and feed exclusively off of you while you sleep. They breed quickly, they hide during the day, and the most effective way to remove them from your home is heating your ENTIRE home to 150 F for 6 hours (basically baking your house).
I've had roaches, mosquitoes don't bug me, spiders are usually friendly, but bed bugs were - by far - the worst experience I have ever had with the insect world. Worse than dysentery. I am not joking.