The mating habits of the bed bug are particularly curious. In most insects the male produces a parcel of sperm, called a spermatophore, and either places this in the female's vaginal aperture or passes it to the female, who inserts it in her own vulva or cloaca, depending on the species.
However, bed bugs are far more strange: you might even say perverted. The male does not gently place his sperm in an opening in the female's body, rather he stabs into her with his long sharp penis, and injects his semen into her flesh. The sperm then works its way through the female's body into special vessels, where it is stored and then used to fertilize eggs.
Bizarrely there is a sound evolutionary reason for this. In many species, after sex the male attempts to block the female's genital opening with a hard plug (in extreme cases, for example in bees, the male genitals may be left in the female's vulva). This is done so as to stop other males subsequently having sex with the same female, to ensure the first male to have sex with the female will see his semen and hence his genes passed on. In bypassing the vagina, the male bed bug is able to get around this barrier, and render mating plugs useless. And the female is adapted sufficiently that this violent rape does not endanger her life. Evolution is full of this kind of bizarre race between competing animals.
But that isn't the end of it. It gets freakier. In the species Xylocaris maculipennis the male will actually stab his penis into other males, and inject his sperm into them. The sperm then finds its way into the testes of the attacked male, and will subsequently be passed out when the recipient has sex. Such attacks may even take place upon a male who is engaging in sex with a female. This allows a male to fertilize a female without even having sex with her, which is evolutionarily desirable, if not as much fun.
So now as well as hating bed bugs for living in your bed, you have another reason.
References
http://www.si.edu/resource/faq/nmnh/buginfo/mating.htm
http://www.talkorigins.org/faqs/ce/4/part1.html