Mites or Lice
Mites are a very small insect that ingest blood, skin and/or feather material from the bird. For budgerigars there are three main culprits. They are scaly face mites that live within the skin, red mites that bite the bird through the skin and live on the feathers and air sac mites that live within the respiratory system.
Mites are not usually an issue for pet birds.