If you feel like sneezing, please, let it out.
Don't pinch your nose or close your mouth to hold it in. That's dangerous, as a man recently learned when he tried to contain a sneeze and ended up in the hospital with a hole in his throat.
You probably won't rupture your throat like he did, but holding in a sneeze has also been known to damage eardrums and cause ear infections.
So if you have a cold, take some tissue paper or a handkerchief around with you to sneeze into. And if the sneeze catches you unawares, well, an "Excuse me" is perfectly acceptable.
Sources:
ALAT
Wiki