Yes, and it really hurts but I'm not allergic to them.
bumblebees don't lose their stinger, and any of the wasp family (wasps, hornets, and yellow jackets) don't lose their stinger. honeybees, when they sting an insect, don't lose their stinger, but when they sting a human or an animal, the stinger gets left behind. if you pull it out, you inject more venom into your system. the trick is to scrape the stinger off with a plastic card. I've fortunately not seen any Africanized killer bees or Japanese Giant Hornets here in Indiana. another thing, like I said before, if you kill any stinging insect near a hive or nest, it will release a distress signal