The internal and external ultrastructure of virtually all of the olfactory sensilla of the mosquitoes Aedes aegypti and Anopheles stephensi have been described. Many other mosquitoes have had their olfactory complements partially described. This review summarizes ultrastructural features and suspected biological roles of the small sensilla coeloconica, large sensilla coeloconica, sensilla ampullaceae, grooved pegs and sensilla trichodea of mosquito antennae, and the capitate pegs of mosquito palps. In addition to a general review of the topic, several new points are raised: 1) the lamellate dendrite is the CO2-sensitive element in the capitate pegs of mosquitoes and in equivalent pegs of certain other insects; 2) the presence of the purported CO2-sensitive lamellate dendrite in many male mosquitoes and other biting flies argues for more widespread occurrence of males seeking out hosts for mating purposes; 3) the grooved pegs, considered to have a single apical pore are olfactory sensilla of the multiporous grooved type bearing many pores along their side grooves; and 4) the large sensilla coeloconica are multiporous grooved sensilla and may have structural and functional equivalences with grooved peg sensilla.