Legacy GUI.
So as far as I know there is a way to do this in Unity, but there isnt an action for it. With Legacy GUI they use two separate button types to handle this situation, they're Button and RepeatButton.
Button returns a bool true when the click is released. RepeatButton returns true every frame that it is depressed. There is only an action for Button right now for Legacy.
On the other hand in 4.6 I'm pretty certain that I recall seeing this functionality built into the button system for the new uGui. Someone please correct me here if I'm wrong.