I do not know about with mosquitos but I am awae of a microscopic mite that infests fleas so ironically some fleas have "fleas". There is also one that infest honey bees. Based on that I assume there are also some that infest mosquitoes.
The smallest known mite is the "water bear" a tiny arachnid the size of some bacteria. They are some very tiny critters in this world. All of us humans carry eye lash mites, little benign critters that live in our eyelash follicles. Even newborn babies have them.
I believe it is fairly safe to say there are mites that specifically infest all living creatures, including mosquitoes.
EDIT: Did some searching and at least some mosquitoes have "fleas" Check this link:
http://www.royalsociety.org.nz/Site/.../2006/003.aspx