A sneeze is usually spelled in english onomatopoeia, "Aachoo." The polite thing to do when sneezing is to cover your mouth and sneeze away from the direction of people.

When a person sneezes it is polite to respond "God bless you" or "Bless you" or "Gesundheit" (which is German). The reasons for this go back, to at least the middle ages. Sneezing was the first symptom of plague, so by wishing that God bless someone would keep the disease away. Other languages have similiar conventions, like Spanish the interjection is Salud! ("Health!")

Thestraightdope.com reports:

The custom of saying "God bless you" after a sneeze was begun literally as a blessing. Pope Gregory the Great (540-604 AD) ascended to the Papacy just in time for the start of the plague (his successor succumbed to it). Gregory (who also invented the ever-popular Gregorian chant) called for litanies, processions and unceasing prayer for God's help and intercession. Columns marched through the streets chanting, "Kyrie Eleison" (Greek for "Lord have mercy"). When someone sneezed, they were immediately blessed ("God bless you!") in the hope that they would not subsequently develop the plague. All that prayer apparently worked, judging by how quickly the plague of 590 AD diminished.
There are urban legends floating around, each one is popular. Some say your heart stops when you sneeze (it doesn't), and Millhouse from The Simpsons once said that when you sneeze your soul tries to escape and saying "God bless you" crams it back in.
Sneeze on Monday for health,
Sneeze on Tuesday for wealth,
Sneeze on Wednesday for a letter, 
Sneeze on Thursday for something better,
Sneeze on Friday for sorrow,
Sneeze on Saturday, see your sweetheart tomorrow,
Sneeze on Sunday, safety seek.

One for sorrow
Two for joy
Three for a letter
Four for a boy.
Five for silver
Six for gold
Seven for a secret, never to be told.

And lastly, a sneeze before breakfast is a sign that you will hear exciting news before the end of the day.
If you watch Anime for a while, you'll notice that when a character sneezes, the camera focuses on them. Why?

Well, in Japan, some people believe a superstition that if you sneeze, then somebody somewhere is saying something bad about you right now. In Trigun, when somebody says something about Vash the Stampede, you'll cut to somewhere else, where meanwhile Vash sneezes. Amusing.

Achoo! I just sneezed writing that paragraph, No kidding! I guess my mom is on the phone with a neighbor right now.

"Bless you" information taken from http://www.straightdope.com/mailbag/mgesundheit.html