According to neurologist Dr. Richard Koller on The Bulletin, sneezing does not kill brain cells. It does slightly increase pressure in the skull, but the increase is not long enough or hard enough to kill brain cells.
The Bulletin says that the fear that sneezing kills brain cells comes from the fact that increased pressure in the skull damages brain cells, as occurs in some types of stroke. The headache caused by a sneeze, however, comes from a short and small increase in pressure. Also, it is much better to sneeze than to avoid it, as holding in a sneeze can cause ear damage.