I've just experienced my first-ever spate of bed bugs this month. I had been afraid of them ever since I heard they were "back" -- I have a bit of a bug/rodent-phobia and the way people described bed bugs sounded like a nightmare. I guess it was bound to happen to me, living in a multi-family dwelling in a densely populated neighborhood where people toss their crap out on the street every day for the taking. My building manager says that the culprit this time was my neighbor in the unit below mine, who brought in a discarded couch that was infested with the bugs, and getting those out of the neighbor's apartment was lengthy, costly, itchy, and all around arduous. Pest control didn't get 'em all though, since a few strays lingered around and crawled upstairs to me.
Here's my advice to the afflicted, one day after my apartment was sprayed:
1) Don't freak out. Just take care of the situation. Call whoever needs to be called to make an appointment with a pest control professional, and light a fire under their ass until they get you what you need. Also, whatever they tell you to do, do it -- this will mostly be vacuuming, washing the hell out of your clothes and storing them in airtight plastic bags, and clearing your closets and shelves. Do it.
2) Inspect your belongings every time you take them out of your home. If you're feeling really vigilant, vacuum your outfit and bag. If you normally take a laptop with you, inspect that too. Don't bring anything that might possibly be infested into another person's home!!!
3) Worry more about the actual infestation than the bites. The bites are unsightly, but they don't itch for long, and you very likely won't notice the bites until after the bed bug has already had its blood meal. (YMMV, but I'm fine.) Most important, as far as scientists know, bed bugs do not transmit disease. Just take a Xanax, get some sleep, and concentrate on getting those little fuckers out of your home.