No need for bug spray at all. Been to Cancun quite a few times and never had any bug bites of any kind ever.
Ali has a couple from April that still haven't completely healed. They are tiny insects that do it and apparently some people have a reaction to them so they end up being large red and swollen areas. Nasty bastards.
We never had a problem, but we live in Florida and are probably used to a lot of bugs and bites especially in the summer months.
Im not sure what they are (mosquitos or sand fleas or something) but I have allergies to some sort of bug from there as well - they cause big red swollen bumps that itch like crazy, sometimes blister and take weeks to heal (Not fun or attractive!) - after a doc's visit that required benadryl shots in the butt and $500 medical bill, I take bug spray EVERY time I go south now! Worst time for me is when it is getting dark! Better safe than sorry I say!