It's vital that you clean your razor after every use. Hair, dirt and debris cling to the razor blade, creating an environment which allows bacteria to thrive. It may not seem like a big deal, but allowing dirt to accumulate on your blade can cause razor burn or bumps, which is not something you want to endure.
Thoroughly rinse your razor after every use and make sure to work between the blades until they're looking spotless. Just a small amount of dirt can lead to bacteria growth, paving the gateway to irritated skin.
If you haven't used your razor in a while, it's worth giving it a quick rinse every so often to stave off the threat of dirt or debris making its way between the blades.