Press a finger on your upper lip, right against the bottom of the nose. Almost always works, even if it is just delaying the inevitable.

Pinch your nostrils very tightly as soon as you feel the sneeze coming on and take a big gulp of air (but not too big, or you'll give yourself hiccups, which will be even worse under the circumstances).

OK, you're going to look at me funny from now on, but...

My brother learned this from his 4th-grade-teacher. When you feel as if you are about to sneeze, but don't want to, repeatedly say the word "Gerhoogenschnozzle" as quickly as you can under your breath.

If you feel a sneeze coming on that is never getting there and you just want to get it over with, look at the sun (there's actual science behind that one) or think of a cow.

I know it's stupid, but it works.

Not exactly what you were looking for but still effective.

Gerhoogenschnozzle gerhoogenschnozzle gerhoogenschnozzle...

The finger-under-the-nose thing pi=3 mentions is quite, but not entirely, effective with me.

If you sneeze, burp and fart all at the same time, you'll explode.

Can't remember where I read it, but what pressing your finger under your nose does is compress the nerves that cause the sneeze. Naturally it's only temporary, because if the irritation is still there, you're gonna sniz whether you like it or not.

I've also had great luck with pinching the skin on the top slope of my nose - 50% of the time it gets rid of the sneeze completely. (Well...the other 50% of the time it causes instant sneezage...)

Ditto'ing essexjan. That works for me.

I pinch the bridge of my nose, seems to work well. I'd say 90% effective.