They have a keen sense of smell, that detects carbon dioxide and octenol, key chemical signals that the insects use to find human prey.

1) "Blood sucking (or hematophagous) mosquitoes are always females seeking to nourish developing eggs: a number of internal and external cues cause mosquitoes to carry out this behavior.
Circadian rhythms, amongst other internal cues, dictate the time of day within which a specific mosquito species will feed. Furthermore, an individual mosquito's host-seeking behavior is either inhibited or enhanced by her state in the gonotrophic cycle.
A mosquito receives external environmental information from sensory receptors, the physiology of which will be further reviewed in this paper. In particular, anthropophilic, or mosquitoes more likely to feed on human hosts, respond to varying concentrations of attractants such as Carbon dioxide and L-lactic acid in the air. In fact, mosquitoes may orient to odor plumes of these substances using upwind optomotor anemotaxis--much like the well studied response of gypsy moths to pheremones. A mosquito, upon finding a host, then chooses a specific body region for feeding upon according to skin temperature and humidity."
Source and further information:
http://www.colostate.edu/.../beaty.html


2) "Previous studies have shown that human sweat contains about 350 different aromatic compounds, but not much research has been done on them. For example, researchers do not know much about the individual variations in these odorants, not even how greatly the odorants of men and women differ. However, recent data from researchers in the Netherlands suggests that mosquitoes use a blend of many odorants in targeting prey."
Source and further information:
http://www.sciencedaily.com/.../040115080313.htm


3) A very interesting article can be found here:
"Mosquito Host-Seeking: a partial review"
http://www.ent.iastate.edu/.../hostseek.html
It shows the role of different substances such as:
- mosquito attractants
- CO2
- Lactic acid
- Octenol
- Sweat
- Skin emanations
Temperature and Humididy are also playing a role.


4) Further information on mosquito repellents:
"Outsmarting Olfaction: The Next Generation of Mosquito Repellents":
http://www.pubmedcentral.nih.gov/articlerender.fcgi
"Fighting malaria by manipulating mosquitoes' sense of smell":
http://www.vanderbilt.edu/news/thats_vanderbilt

As abrarose has already said, they can detect carbon dioxide, the gas almost all animals breathe out when respiring.