They can be quite embarrassing at times.
I took our eldest daughter on the tour of Anfield a couple of years ago when she was about 4 or 5, she was still in nappies. As we got outside and sat down, everything was quiet whilst the guide was telling us all about the ground. At that point my daughter started saying, quite loudly, "I need a wee, daddy, I need a wee". I started wispering "come and sit down a minute, I'll take you soon", to which she started shouting "I can't sit down, I'm wet, I need a wee!!".
Another time, similar situation, I'd just been to visit the mother-in-law in hospital. On the way out she said she needed the toilet, the wife said it was my turn so I took her into the cubicle. She sits there and does quite a long wee, before exclaiming quite loudly "wow, that was a big one daddy".