I have a bug bite! What should I do?

Anti-histamine etc.. For a bug bite, one can take over-the-counter claritin, zyrtec, or Benadryl (diphenhydramine) to block histamine, which causes itching. Putting Hydrocortisone 1% cream 2-3 times a day on the bite for 3-5 days will help it go away. For more itch relief, one can put an anti-itch gel such as "itch-x" on the bite. Itch-x has an anesthetic to numb the itch. If the bite grows, oozes, or is painful, a doctor can evaluate.
Serious bug bites. Not uncommonly, people have a serious systemic (beyond local) reaction to bug bites, particularly bees, wasps, yellowjackets. These may cause swelling in the mouth or throat, hives, wheezing...An anaphylactic reaction. Any systemic reax must be reported to doc, or if trouble breathing, treated emergently. For such potential reactions, emergency measures must be available, such as an epi-kit.
Clean, ice, caladryl. A bug bite introduces a minute puncture wound in the skin, which is the body's most important barrier to infections, and is the largest organ of the body. Most important principle is to prevent the bite becoming a source of skin infection (cellulitis): clean 2-4 x daily, ice the swelling, apply anything to prevent scratching the itch. See doc if redness, swelling progresses, fever...