There are people who are afraid of passing out from the Valsalva effect (high blood pressure in the brain causing a loss of consciousness or an aneurysm) if the hold their breath while lifting. As long as you train progressively, though, this happens only rarely (statistically insignificant) and most people do end up holding their breath (Valsalva maneuver) to help keep their backs in the right position while lifting. You're more likely to hurt your back while exhaling on the way up (especially if your core isn't where it needs to be) than you are to pass out from the increased blood pressure caused by holding your breath.
Needless to say, do lift with a spotter when you lift heavy weights. Valsalva's incredibly rare, but it does happen.