A Mosquito Biting You Looks Horrifying Under A Microscope
It's not just a stick-it-in-and-suck action like you probably guessed. The mosquito's proboscis goes searching and probing through layers of your skin to find and infiltrate a suitable vessel. The cube-shaped objects are skin cells, and the red tubes are blood vessels.
The proboscis is flexible and made up of several sections, which split apart when they pierce the skin. They are sheathed by an outer layer which is pulled back upon insertion. National Geographic blogger Ed Yong information on how these mouth parts work.
He posted this video, taken from a PLoS ONE paper published in 2012. The mosquito in this video is the Anopheles gambiae, and they were taken when the mosquito was biting a mouse, though the same thing happened when they probe for blood under our skin.
Here's a second video, from the same researcher. It shows what happens when the mosquito finds a good blood source: