Chiggers

No chiggers do not burrow under your skin, that is a myth!
They are in the arachnid (spider) family and like spiders they release a poison that dissolves flesh and that allows them to allow feed on the fluid from your deeper skin, it is that that causes extreme itching.
It also has something to numb you so by the time you feel the itch (and it is VERY bad) they are long gone.

http://animal.discovery.com/arachnids/question488.htm

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I hear if you get them on your balls, the next day it's like having two softballs in your sack.

Two very painful softballs.

Never had em', myself. At least, not badly enough to even know that's what they where, though I've been in their territory.