In case of mosquitoes, body hair works pretty well, as that not only makes it harder for the mosquito to make a good perch, but also lets you feel the mosquito before it has the chance to use its chemicals.
On the other hand, it is kinda hard to make it work with stuff like ceiling fans, because the wind currents are already causing enough feeling to make it harder to differentiate between those and the mosquitoes.
When I am sleeping, most of the times, 2-3 mosquitoes have already bitten me by the time I manage to wake up.
On the other hand, I definitely feel them. So maybe the variety in my area doesn't have a good enough anaesthetic?