As the last several posts have pointed out, there are differences between various species of stinging bugs... bees, wasps, hornets, and fire ants. Baking soda does work beautifully on fire ant bites, but had no discernible effect on wasp stings for me.
I also know it's true that bees leave a stinger in the wound (and die shortly after they sting you) while wasps don't. Thus, treatment for bee sting involves removing the stinger, while wasps are different. I guess the bottom line is to try to identify what got you and find the appropriate treatment accordingly.