It depends. Sometimes I can have sex with a fairly full bladder and the orgasm ends up being more intense. Other times it's so full that I just can't comfortably get into having sex until I piss first.
On the other hand, sometimes when I have even a mild urge to go, after sex I get a lot of irritation when I finally do go, almost like a mild and temporary version of a UTI. I mentioned it to a urologist and he said that orgasm can be a complicated interaction of muscles and nerves that can leave the whole system out of whack for a little while. He also said that I shouldn't worry about it unless I'm feeling it all the time.
I haven't heard of other guys having this issue. It's more of an annoyance than a concern.