The building codes call for either windows or mechanical ventilation in every bathroom. Especially with today's tighter buildings, an exhaust fan should be installed on a timer in all bathrooms. If you get one installed, make sure it vents outside and not directly into your attic.
If you don't install one, make sure you open up a window while taking a bath / shower and consider squeegeeing down the walls.
For more information:
Read "What should I look for in an energy efficient, quiet bathroom fan/light combination for a small bathroom?" a Q&A answered by Danny Kelly.
And check this blog post about bathroom exhaust fans on Sean Lintow's website.