If you actually swallow smoke into your lungs usually that makes you feel sick. At least it makes me feel odd, it's funny burping out smoke though... lol.

Anyways, I'm all anti-marathon (holding the smoke in for a long time) because as someone mentioned earlier, most of the THC is absorbed nearly immediately. When you hold it in you give carbon and carcinogens and other crap a longer time to settle in your lungs, while only a little bit more THC will be absorbed. I don't find it worth it, try exhaling and then holding your breath, if you want the lack of oxygen head rush.