Any ideas why it feel like I have to urinate really bad, but when I try I can't?

May be... Three conditions come to mind: inability to empty bladder, uti, or small irritating bladder. To define such, collect the feature, degree, and progress of voiding symptoms over time with their detailed sequence of event, and bring those to see doc timely for review, analysis, more hx, physicals, and needed tests so a DX could be deduced for proposing treatment.