We obtain upper bounds on the expectation of the supremum of empirical processes indexed by H\"older classes of any smoothness and for any distribution supported on a bounded set. Another way to see it is from the point of view of integral probability metrics (IPM), a class of metrics on the space of probability measures: our rates quantify how quickly the empirical measure obtained from $n$ independent samples from a probability measure $P$ approaches $P$ with respect to the IPM indexed by H\"older classes. As an extremal case we recover the known rates for the Wassertein-1 distance.