A RadioLab episode on parasites http://www.radiolab.org/2009/sep/07/ floated the idea that hookworms might protect against allergies, and interviewed a person who’s tried it (and markets hookworms for this purpose). This is a variation of the “the hygiene hypothesis, which holds that we in the developed world receive much less exposure to infectious agents than our ancestors did, so our immune systems don't develop properly. As a result they overreact to harmless stimuli, giving rise among other things to what's been described as an asthma epidemic. Epidemiological studies purport to show that allergies and asthma are less prevalent in rural societies than in cities, that children with intestinal parasites have less severe allergic reactions, and so on. “
This Straight Dope article provides some further background: it’s an interesting idea, but not at the stage where you’d want to test it out.