I pretty much save almost any insect I find inside since I don't like killing. However, there are a few exceptions and mosquitoes would be one of them. I hate them so much. Yesterday, I went over to my friends and I knocked on his door. It took him a few minutes to answer and before he answered I had to back up and go to the driveway cause there were like 10 mosquitoes hovering right by the door trying to attack me (he lives in a mosquito infested part of the neighborhood). Anyways, I don't mind seeing them die because those damn mooching females are always after blood.
I would say that fleas might be the most dangerous considering they can spread bubonic plague (although mosquitoes kill a ton of people through disease spreading). Spiders can be pretty deadly but they usually don't kill too many (or at least on a plague level). Roaches can spread some nasty diseases but I believe the flea is responsible for a decent amount of deaths (especially during the middle ages in Europe). Flies are just annoying (horse fly can be a pain if they bite you) and I don't think they really spread too many diseases when compared to other insects.