If I know I'm getting in late, I always call ahead to ensure 1) they are still hanging around, especially if it's a small airport and their posted closing time is around or before my arrival and 2) that they will save a car for me, or transfer the reservation to another rental agency.

I've had success with them transferring the reservation the one time I needed it, although they charged me out the wazoo for the car. I've done the former multiple times and, fortunately, they've always stuck around and had a car available for me.