Botflies!
Oh these little creatures are great fun. They lay their eggs on mosquitoes, and the mosquito uses it as currency to buy a little blood off of you. That way you won't feel so upset about Momma mosquito using you to feed her babies.
So for a few weeks, you get a little pet who will be your constant companion! It lives in a little hole in your skin that is open to the outside so it can breathe.
This little cutie is the one inside you, which eventually pupates and turns into the critter in the first pic.
More Info via Wikipedia
Edited to add quote from pic source:
There are stories of entomologists rearing torsalos on themselves in order to get a good specimen of an adult (which are rarely captured), but we regard this as taking your profession a little too far.
I'll admit to having considered this in the past. I've yet to receive the gift though, so I just have to wait.
--end edit
Of course, my favorite botfly story is about my first encounter with one. I've never had a "pet" but I did meet some adults when I did a brief stint as an entomologist for a pest control company. Customers sent lots of samples to me for identification, and these had me stumped. They were obviously flies, but looked like little bumblebees. I figured they were some sort of flower fly and mimics of bees. I finally posted them to bugguide.net and found out that I had two adult rodent botflies. Because I have a tendency to go into too much detail, the customer was horrified. Really though, there wasn't much my company could do about it and it wasn't hurting them anyway.