Nobody knows for sure, though a lot of people have tried to find out. One popular explanation is that this is an involuntary reaction to protect the eyes from harmful particles (ie, the spreading of germs) that might otherwise get into them during the sneeze. But while it may happen to have this effect, we can't really know whether the body developed the eye-closing reflex for this purpose. Also, when you sneeze a whole lot of muscles contract (try it, and you'll notice a tightening all over the body) so this may well just be the reflex we notice most. Another theory is that sneezing puts pressure on the eyes, so they automatically close to avoid this.

There are some very odd ideas attached to sneezing. Some people believe that sneezing causes your heart to miss a beat - it doesn't - and there is a lovely story going around now, that if you do manage to keep your eyes open during a sneeze they will pop out!