Never Pull a Bee Sting Out with Your Fingers

Reasons

When you grab the part that's easy to grab, you actually squeeze the venom sac and the forces more venom out of the needle. Plus, the venom is accompanied by an alarm pheromone that attracts nestmates to the sting site and the new bees will give you more grief.

You should use tweezers to grip the needle directly and pull it out.