Absolutely! A pimple forms when excess sebum (oil), dead skin cells, or bacteria gets trapped in a pore and becomes inflamed. If you squeeze the pimple it may cause the debris to rupture or be pushed deeper into the hair follicle, thus causing the follicle wall to rupture releasing the debris into the dermis layer of the skin. See Image Below

Even if some of the infected material is released through the pore opening some may have been pushed down and released into the dermis (innermost layer of the skin), this may worsen your acne and cause scarring. The safest and best way to get rid of a pimple is to leave it alone and see a professional. (My recommendation)! A professional has sterilized instruments, like a lancet.
If you can't restrain yourself or wait to see a professional then there is a proper way to pop a pimple, see http://www.acne.org/pop.html. VERY IMPORTANT - Leave cysts or nodules alone and see a dermatologist, they may need to give you a Cortisone injection. Cysts are similar to Nodules, but are pus-filled and are aproximately 5mm in diameter and Nodules are larger, harder bumps under the skin that can last for months. For more information on different types of acne visit http://www.acne.org/types-of-acne.html.
Some spot treatments that I have found to be very effective.
Juice Beauty Blemish Be Gone Stick - Sold at Nami Spa http://namispa.com/.
Desert Essence Blemish Stick - Sold at http://www.desertessence.com/skin-care/face/tea-tree-oil-blemish-touch-stick or Trader Joe's. I have found the Facial Cleansing Pads to be very drying to the skin, especially for sensitive skin.
Always feel free to call and speak to one of our estheticians for recommendations.
Nami Spa
262 Beacon Street - 6th Floor
Boston, MA 02116
Ph. 617-267-6264
Web. www.namispa.com