it's uncomfortable and my hands sweat.
it also hurts my finger bones and restricts my hand/arm/finger freedom, which is torture for a compulsive finger-fiddler and clothing-adjuster such as myself.
the only real purpose for hand-holding that I've seen is that it keeps me from accidentally turbo-walking 20 paces in front of Dan. because I am a very fast walker, while he is of the more relaxed (re: infuriatingly slow) variety of walker. and even then my hands get sweaty after 30 seconds and I proceed to leave him in my turbo-walking dust.
I honestly think only people in new relationships hold hands. It's like a validation thing. a statement: "I'm with this person and wish to be touching them at all times". which is great and all. but after a while you just say to each other (or at least I do): "hey, can we please abandon this ridiculous practice now? i love you, you love me. we needn't be connected uncomfortably by the hands right now. i'm sweaty."
it's a beautiful milestone in a relationship, I think, when you're comfortable keeping your hands to yourself (at least when it comes to holding =P)