Bed bugs are certainly a visitor that you do not want anywhere near your bedroom as they're a nuisance.
They bite, and their bites can cause allergic reactions, and potentially secondary skin infections - and while more often than not their bites are fairly harmless, an infestation is not something you want in your home.
Bed bugs are really irritating, so it's important to deal with them as quickly as possible, as females can lay as many as 500 eggs in a two-month period. These eggs then hatch in about a week, which then leads to problems as you'll soon be overrun with the critters.