Peeing on a jellyfish sting does not actually help to ease the pain.

The pain from contact with a jellyfish is caused by skin cells that contain structures called nematocysts that release venom. The nematocysts embed themselves within the stung area and any sort of rubbing or scratching only causes them to release more poison! The pain from a sting typically only lasts about 24 hours, but victims prefer to find any way to reduce the suffering during that period. A common wives tale is that urinating on a sting can soothe the pain, but it can often do quite the opposite! A surefire way of lessening the pain is to apply saltwater to the affected area. The salt in the water deactivates the nematocysts and keeps them from releasing additional venom. Vinegar is another effective method.

If this is all true, why doesn’t the salt in urine help? The problem is not the salt in our pee, but the concentration of these salts. The proportion of salts in our pee can vary based on the types of food we eat or how hydrated we are. Therefore, peeing on a sting could actually REDUCE the saline levels within the nematocysts and cause them to release more venom!

To summarize: if you pee on a jellyfish sting, urine a lot of trouble.

More info from the Scientific American.