Most experienced divers don't think twice about 
  peeing underwater, but there are those -- especially new 
  divers - who are hesitant. Should you hold your urine underwater? Is there a downside to holding it? Does 
holding or emptying your bladder affect thermal status?
Once underwater, the urge to urinate increases. 
  During a dive, there is about a 60 percent increase in the 
  work of breathing. Pressure outside the chest wall is positive 
  and at the end of breath expiration, internal lung 
  pressure is less negative. Negative pressure breathing 
  causes divers to lose about 350 cc/hour from their circulating 
  blood volume. 
The cardiovascular system changes. More blood 
  returns to the heart due to increased abdominal pressure 
  and decreased pooling in peripheral veins. Cold 
  inhibits the natural anti-diuretic hormone, so peripheral 
  blood vessels constrict, driving fluid back into the core 
  and stimulating urine discharge. Diving increases carbon dioxide in the blood, which also decreases a natural antidiuretic 
  hormone, promoting fluid loss from blood.
There is no increased central blood volume and 
  output from the heart increases up to 30 percent. The 
  result? Urine flow increases 4-5 times during a dive. 
Even with all those physiological changes, there 
  should be no problem emptying the bladder while diving 
  -- if the person is wearing a wet suit. The odor will wash out if care is taken after diving.
Holding the urine in could possibly be harmful. 
  There have been cases of fainting when the stretch 
  receptors located in the wall of the bladder are stimulated and a vagal nerve reaction -- a decrease in heart rate, 
  blood pressure, and a feeling of light-headedness occurs. 
  Fainting underwater is risky to say the least.
In addition, why ruin a perfect sport by the sense of 
  urgency that occurs as well as the distraction from multitasking? 
The problem is different when wearing a dry suit. 
  Men have a "pee valve". Women have to wear some
  absorbent shorts or diapers (Depends, for example).
Is there a change in thermal status? Loss of heat from 
  the urine might be counteracted by the temporary heating 
  of the wet suit. If using a dry suit, it would likely be a wash. But, to my knowledge, the topic has not been 
  studied.
So, my best answer is you need to go ahead and pee 
  even if it is against your sensibilities.
-- Ernest Campbell, MD, the Scuba Doc