I've learned that I can control sneezes in a couple of ways, if you feel them coming. The first and best way is to start breathing in through the mouth and out through the nose. Whatever irritant is in the nose is expelled that way, rather than going deeper in. I feel the urge to sneeze decrease over time when I do this, and it takes just a couple of breaths.
A more difficult way is if the sneeze is already coming and can't be stopped, I can clamp down on it in my throat and silence it, but I can't stop the head forward, eyes closed reflex. It takes practice, and it doesn't always work. Either way (breath control or holding it in) I feel like I need to blow my nose afterwards.
You may or may not want to learn this, depending on your circumstances. If you have regular need for stealth (eg, you are a ninja) then it might come in handy. On the other hand, I've heard that it is an acceptable excuse for some kinds of traffic violations, because it is supposed to be involuntary and uncontrollable. Learning to control your sneeze reflex might take that excuse away from you.
Mokalus of Borg
PS - In The Matrix, how come Cypher had to sneeze? It's not like it was real dust he breathed.
PPS - That's called the Sneeze of Doom.