Why Insect bites are itchy rather than pain?
You're more likely to have an allergic reaction if you're stung by an insect. The reaction can be classed as:
  
  Minor localised reaction – this is normal and doesn't require allergy testing, although the affected area will often be painful for
  a few days
  
  large localised reaction (LLR) – this can cause other symptoms, such as swelling, itching and a rash
  
  systemic reaction (SR) – this often requires immediate medical attention because it can cause a potentially life-threatening allergic
  reaction (anaphylaxis)


Taken from : http://www.nhs.uk/Conditions/Bites-insect/Pages/Symptoms.aspx

You can read up on this here: 

http://en.wikipedia.org/wiki/Inflammation

http://primer.crohn.ie/the-inflammatory-response

For a more detailed look, I would suggest papers like this:

Loza, Matthew J., et al. "Assembly of inflammation-related genes for pathway-focused genetic analysis." PLoS One 2.10 (2007): e1035.

or a good immunology textbook.