A recent paper by Dickerson et al. in PNAS explains how mosquitoes are able to fly effectively in rainy conditions (remember: many of them hail from humid tropics), even though a single raindrop by weigh 50x what a mosquito weighs. If you cannot access the full paper, feel free to read this summary on BBC (complete with video).
Essentially the answer comes down to poor momentum transfer by water droplets to the flying mosquitoes. The insects have a hydrophobic surface, and most rain drops only score glancing blows, so the water slides off quickly before it can affect the flight path a great deal. Even direct hits only drop the mosquitoes a short distance, because very little of the momentum actually transfers to the ultralight mosquito - the water basically briefly engulfs them and then continues on its way. The expanded surface area for wetting on the wings produced by the fringed hair margin mosquitoes possess further improves their ability to shrug off water strikes.
This manuscript answers one intriguing question, but raises some new interesting questions about aerial stability in small insects and body shape effects during flight in adverse conditions.
It even inspired a comic strip.