Because sponges fit in somewhere between protozoans and cnidarians (stinging corals), some do posess the ability to cause a stinging sensation, however, there are actually not that many that pull in the ability from the cnidarian side and adopt the bristles to give them protection..
If you get stung by these, just use sticky tape to remove the bristles and run under flowing cold water for a few minutes to ease pain...then wash the stung area with a mix of 1 part salt, 3 parts vinegar..this will neutralise the toxin that is left behind by the bristles...
What sponges can sting you?? Well, there has been many tax reports done on sponges, and they do not seem to provide a huge insight into why specific sponges will sting. What "is" known is that Red or Fireball sponges are guaranteed to sting you..and yes...THIS FREAKIN HURTS...wear gloves....
Hope this little insight has been some help to yourself Ewurn, and others...