The average adult pees 4 to 6 times a day. If that sounds like a lot to you, you're probably not peeing enough, which is a shame because your bladder is a disgusting swamp hole that needs to be flushed out on the regular. This informative and pun-filled video by DNews makes a great case to release the pee.
Basically, once won't hurt you, but repeatedly holding it in means you're at risk for either a UTI or a condition where you can never get rid of all your pee at once, which sounds gross. The less trips to the bathroom the better.
Most interesting in this video, though, is for some reason your bladder can hold twice as much urine when you sleep. I am literally not a scientist, but I'm pretty sure this could work as a medical excuse to sleep all day.