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In series 1 episode 3 Gwen asks Jack where he sleeps, given that he lives in the Torchwood building; he replies that he doesn't sleep. In episode 5, however, we see Jack dreaming about WW2 whilst lying on a metal ring in the Torchwood building.
So does Jack sleep or not?
If we look at the canonical quote listed in the answer to "Does Jack Harkness "need" to eat?", courtesy of Rand al'Thor:
DOCTOR [behind door]: When did you first realise?
JACK: Earth, 1892. Got in a fight in Ellis Island. A man shot me through the heart. Then I woke up. Thought it was kind of strange. But then it never stopped. Fell off a cliff, trampled by horses, World War One, World War Two, poison, starvation, a stray javelin. In the end, I got the message. I'm the man who can never die. And all that time you knew.
We see that he can die of a sickness that any mortal man can die from, including starvation. Since sleep deprivation is actually lethal (what was the record, 6 days?), we can assume, although it is not documented, that Captain Jack can die of lack of sleep, and thus regularly needs some.
But again, I have no canonical evidence.
Jack does sleep. As a result of his immortality (or maybe just his 55th Century physiology) he seems to require less sleep than a 21st Century human, but that's not to say that he doesn't still need forty winks every now and then.
Barrowman: This is where Captain Jack sleeps [opening manhole to reveal a tiny, grubby bedroom]
Presenter: Oh my gawd. It's like a Travelodge
