It's a lot more comfortable than having to pee.plot:How comfortable is your pee valve?
Me and a few of my buddies were talking about them the other day and it seems like having your junk sticking in a condom the entire dive with the pressure of going deep could get pretty uncomfortable pretty quickly.
Also, it's safer to use a pee valve. Without a means to relieve oneself, the tendency is to be conservative in the amount of liquid consumed prior to diving. With a pee valve, you don't mind drinking up lots of healthy, anti-DCS water and hydrating up.
Priming the system means the fluid in the hose will not contract and kink under pressure.
There are some excellent and detailed threads on pee valves on this board that a search will point you to.
Here's a couple 'o good ones:
http://www.scubaboard.com/showthread.php?t=125555&highlight=valve
http://www.scubaboard.com/showthread.php?t=49056&highlight=valve