Did any band ever want to go last? Clearly if you're playing a Friday or Saturday night and there's going to be another 3 hours of music and stuff after you then it has some sort of advantage but in my experience it's clearly the worst slot to play.
Everyone's tired, the audience are just counting down 'til hometime and you can't really get wankered for fear of playing utterly shit.
The ideal gig probably begins at 5.30pm, the bands are done by 8.30pm at the latest and then everyone can just relax and get shitfaced. Or not.