Oh no, that's the worst! McDougal used to do it quite often, especially if we changed the bed. Yup, nothing like getting nice new sheets and a clean comforter and coming in two minutes later to find everything covered in pee! He alsop did this to down comforters. I think it was either b/c we told him to get off the bed so we could change it, so he was mad, or to get his scent on it.
I know for sure though that when McDougal is mad he does pee as revenge-on my husband's pillow! We've gone through three, always after McDougal got in trouble or didn't get to do something!
On the plus side, he seems to have grown out of it (at almost 7 y/o)!