What Kind of Insect Burrows Into Your Skin??!!

I just came inside and sat down to eat dinner. My arm itched a little, so I scratched it. That made it itch worse, so I push up my sleeve to look at it, thinking I have a scratch or something. There's a reddish black spot on my forearm, sort of looks like a little scab, so of course, I pick at it. One end of it flips up easily, and I see tiny little legs waving around, so my first thought is, it's a tick...crap. Well, this is like no other tick I've encountered. As I'm looking at it, it keeps burrowing into my arm. It didn't just sink it's head in. It completely disappeared under my skin! Itches like a mofo, and there is some minor swelling around the entry hole. Is this thing going to lay eggs inside me, and then the young will devour me from the inside out?!