I have heard through many sources (some medical and around the forums here) that it is good to pee after sex, especially for women. Stuff can get in the urethra that may cause UTI's, even more so if you use a form of insertable birth control. Same holds true for guys but it is not as common.
I've always heard that you should, because it prevents bacteria from growing that might be close to the urethra. I always have to right afterwards - I don't think I've ever not had to go when we're done.
It's SO important for me to pee after sex (within 45 minutes, in fact) to flush out the bacteria that's gotten into our urinary tract. I used to get bladder infections everytime I had sex, then my doctor told me to pee afterwards, and voila, they've disappeared ; it's saved me a LOT of uncomfortable pain.