I've flown through Lagos, but never lived there. I did, however, spend twelve years in Côte d'Ivoire. Took Paludrine and Chloroquine all through my stay, but still got the odd dose of malaria. My wife tried every prophylaxis under the sun and kept getting 'palu' until she switched to doxy - that worked really well for her.
Individuals react very differently to malaria. Some people never get it, whatever they do or don't do and others can take all of the precautions under the sun and still get it. Malaria is also stress related; if you live in an area where you are exposed to the disease, you may well have a base level of parasites, which your body and the medication are keeping under control. If you get stressed, or flu or something, your resistance drops and malaria can take over.
It is easy to be complacent. I remember one old guy who'd been in Africa forever, who swore that he never got malaria. He kept on repeating the mantra with a temperature of 40 as they plugged the quinine drip into his arm.
As a number of people have suggested, you can build up resistance to malaria. According to my tropical medecine book this is only true of falciparum malaria. Falciparum is the nasty one that they have in West Africa, which can develop into cerebral malaria, so planning on developing a resistance is a risky business. Vivax and ovale, the other two malaria strains can stay in the system a long time and you don't get resistant to them - but they are not as debilitating as falciparum.
In the UK they still recommend Larium as a prophylaxis - it works fairly well - but it has horrible psychological effects on some people; bad dreams, forgetfulness (did I take my Larium?). Halfan, as recommended on this thread, is a good treatment it works very fast and always seems to hit the spot. BUT, it has nasty side effects. If you take it often it can cause cardiac problems - missing beats (I can't spell arrythmea). I also know of one death and one miscarriage that were blamed on a combination of Halfan and other drugs by local medical staff (these are not proven, but worrying).
In the Francophone world you can get Arsiquiniform or something like that, which we found to be the most effective treatment.
If you decide to use Paludrine/Chloroquine as a prophyllaxis, don't buy them in the UK, not unless you don't want to leave an inheritance to your grandkids.
Sorry for the long post, but malaria is serious and getting worse as drug resistance becomes more common.