I am not saying "Don't do it" As with many things, just be aware of the potential pifalls.
See:
http://support.sas.com/publishing/pubcat/chaps/58176.pdf
"A Caution When Using a RETAIN Statement
There are some serious pitfalls that you can encounter when using the RETAIN statement. For
example, suppose you want to read several observations from one SAS data set and create a
single observation in a new data set. Under certain circumstances where you have missing values
and you are using retained variables, you may make the mistake of using a retained value from a
previous subject instead of a missing value for the present subject. We will demonstrate and
discuss an example later in this book (see Program 7-7). So think of the RETAIN statement when
you need to “remember” information from previous observations, but be especially cautious and
test your programs carefully."