These things have pinched me many a time! Time to look at one in detail.
There is a legend – which is where the name stems from – that they will crawl into your ear, puncture the eardrum using their cerci and then lay eggs into your inner ear. That's a pretty horrible thought, but not the truth, according to literature.
[I should experiment with macro mode more (ooh, triple alliteration!) – the DOF is such that the ends of the cerci and the antennae are already out of focus. Then again, I didn't expect my cam to be that much of a magnifying glass. You can really see every little dust speck on the wallpaper.]