Do mayfly larvae bite or sting?

The May bug has no "stinger" so to speak, however it can bite you if you infuriate it, although this is a very rare occurence (I've never heard of it happening to anyone I know).

Generally I try to be nice to May bugs as they are harmless and are becoming more uncommon due to pesticide usage, leave the window open if one flies in and it will find its way out again!