Source: Anopheles stephensi | Wikimedia
Female mosquitoes are the only ones that bite for blood. The proteins in blood are an essential part of the females ability to produce eggs.
They are attracted to the carbon dioxide we exhale and are able to track us by scent. They can pick up on the smell of cholesterol, folic acids and bacteria; along with lotions and perfumes we apply to our skin.
Mosquitoes don’t have teeth, so once a female has located a host, she will pierce the skin with her serrated proboscis. Through this tube, about 20 micrometers in diameter, the mosquito will inject its saliva that contains both an anticoagulant and anesthetic. The mosquito will withdraw about 5 microliters of blood, which is up to three-times their body weight.