The eicosanoids that are made from omega-6s attract many white blood cells to the site, and produce much of the pain and itching associated with the mosquito bite. Platelets collect in an attempt to stop bleeding. The visible signs of inflammation are redness, swelling, heat, and pain, all in varying degrees. We've all had those symptoms from our different bites and scrapes. All that blood brings warmth to the site.
Some inflammation is good, and a natural response.
But sometimes the body can get out of hand with its reactions. In the case of hot spots, the inflammation causes the dog to lick and scratch, which causes more inflammation. Allergies are another situation where the immune system goofs up. The immune system senses an invader when it shouldn't and starts the inflammatory process going. In actuality, there's no reason why the body should react to pollen or ingredients in the dog's food.