Do wild bees sting ?

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Given the diversity of wild bees, it is impossible to giv one general answer. 
However we can bring certain elements to light :
Although honey bee and bumblebee venom is allergenic (several known allergies) the venom of wild bees is not (bumblebees are very close to honey bees genetically).  One case (the only case perhaps ?) of allergic reaction to a wild bee sting has been recorded to this day.  In general, their venom, if it happens to be injected, provokes little effect. 
The stinger of a honey bee though, is barbed.  Once it enters the skin, it is impossible for the bee to take it back.  By trying to take back it's stinger, a part of the bee's abdominal organs is torn at the same time, the bee dies quickly after, due to disembowelment.  But the freed venom emits an odour (attack pheromones) which makes other bees of the colony aware of danger.  Other bees come together instinctively to defend the hive.  Often it is the social behaviour of bees that is most frightening since one sting can provoke great number of subsequent stings.
Another notable fact :  only female bees sting (the stinger is a modified egg-laying organ), so males cannot hurt you (this is true for honey bees as well).
It is also interesting to note that human skin is quite thick, and that the stingers of a large majority of wild bees cannot pierce through it, that makes most wild bees inoffesive for humans.
To conclude, wild bees are non-agressive.  One would have to really bother a wild bee relentlessly to get stung.  Therefore it is totally safe to observe them.