Holding in a sneeze is like holding down the top of a jack-in-the-box. Why not just let it out? The air expelled by sneezes is said to travel up to 100 miles per hour; holding in a sneeze could cause fractures in the nasal cartilage, nosebleeds, burst eardrums, hearing loss, vertigo or detached retinas. Therefore it is best to let your sneeze fly (yet shielded by a hankie, preferably).
Plus, your body is trying to clear out your pharynx-and that's a good thing. To help the sneeze come out, look at a bright light. This stimulates the optic nerve, which crosses wires with the sneeze center. The added irritation of an adjacent nerve will get the sneeze going.