What insect leaves a sliver/spear in skin?

Years ago I lived in a house (very nice house) that always had spiders and unusual different bugs coming and going. They sometimes ended up in my bed and I would often shake them out of my bedding. I'm not a fan of bugs, so this really freaked me out and often slept in the living room.

Anyway, I can think of two times where I woke up in the morning with my whole thigh throbbing in pain and seeing a little spear like cone shaped sliver stuck in the skin in my thigh going in about 1/9 of an inch. The sliver was black with it being wide at the top and pointy at the bottom (obviously, so it can go through the skin). As soon as I pulled it out of the skin the swelling and pain went down. What is this? Not a bee, right?