Allergies occur when your body's immune system mounts a response to some foreign substance that has entered your body. This foreign substance (an 'allergen') might be pollen grains, or mold spores, or some sort of unusual food.
In general what happens is that small proteins in your body known as immunoglobulins (IGs) recognize unique 3-D structures on the surface of the allergen. The IGs then bind to the allergen, completely coating it. The IGs also cause your body to release various hormones that cause other immune cells to gather around the allergen and try to destroy it. This is why your sinuses swell up and get inflamed, or your eyes get red, or your throat closes up -- all the immune system cells and extra fluids that are part of the immune response are gathering around the allergen. So what we call allergies are symptoms of the immune response that your body is using to try to destroy the allergen.
Now you're probably asking why our bodies go to all this trouble (and inconvenience ourselves so much) for a little bit of pollen or animal hair. Unfortunately we don't really know. But one good theory is that our body is making a mistake. The type of immune response that happens when we get allergies is the same kind that happens when our bodies try to attack internal parasites, like nematode worms. The same types of IGs identify 3-D structures on the outside of the worms, and the immune response that follows would be really effective in dealing with the worm. People in industrialized nations like the U.S. don't get many parasitic worms, but they are exposed to lots of small proteins from pollen and whatnot that are apparently very easily mistaken for worm proteins.
Once a person's body makes the mistake once and generates an immune response to some allergen, it will be very likely to have an even stronger response to the same allergen in the future. So some people have very strong responses to allergens every time they encounter them (think of people who get hay fever every May), but some people's immune systems never make the mistake in the first place.
The reason some individuals have 'overactive' immune systems and react very strongly to allergens can be both genetic and environmental. Many allergy sufferers have a few overactive genes that cause them to make a lot of the IGs involved in allergies, and simply because they have more IGs floating around in their body, one of those IGs is likely to make the mistake that leads to allergies. Many allergy sufferers were also exposed to stressful environmental conditions at a young age (like very dusty or smoky living conditions) that appear to sensitize their immune systems and cause their IGs to make mistakes. I should point out that just because an allergy sufferer makes more of this one particular type of IG doesn't mean that their immune system is better in general -- our immune systems use a number of different types of IGs to respond to different types of diseases and pathogens. The IGs that respond to parasitic worms and allergens are pretty useless in fighting bacteria or viruses.
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