I've heard that holding it for 24 hours is when you might have to start worrying about infection, but even before that if your bladder is extremely full there is also a danger of rupturing your bladder (if in a car accident for example). Also remember the lady in California who died in the radio contest last year I think it was (hold your wee for a wii) - although I think her death was caused basically by an overdose of water (coupled with not peeing any of it out). I'm sure you don't have to worry about holding it for 3 or even 8 hours while sleeping!
I held my pee for about three days at a competition with my mates (I'm a boy). On the third day I really had to go and it was class and my other mate that was still holding on peed in his pants (this is true) and then I was just sat their all the time in class clutching onto my **** and everyone asked me what was wrong and I said nothing. Then I had to get home quickly because my brother was hurt or something (I was 15, he was 11 and Mum and Dad we're out). But on the way back it was coming out so I just let go onto a tree! It felt so good! But three days is my record!