I always try to board as soon as I can, after all it's one of the benefits of elite status on the airline. Plus, as people have mentioned, you won't have any overhead space if you board last. I also like being on right away, because I can stow my lugage and just sit there reading if I'm on first. If I board with the main pack of people, I end up having to stand around in the jetway. Then I get to stand around more in the isle as people stow their luggage. Even getting to my seat involves extra wait as the people in the aisle and middle seat have to stand up. It seems to be a lot less hassle when I get on with the elites.

Before I was an elite, though, I've boarded last with a friend of mine that likes to do that. His argument is that you stand around anyway, so might as well wait. I guess that was true until, again, I got early boarding with Premier status. It did feel cool to have the gate door close right as you walk through it; kind of gives you the feeling, at least briefly, that your so important that they waited for you Obviously, they didn't, but that that's exactly what would happen if they were waiting for you (the door closing right behind you).

Edit:

Just wanted to add that boarding last also means that you have to kick people out of your assigned seat if you have good seats. I guess that might be an advantage or disadvantage of boarding last, depending on your personality For example, when coming home from Hawaii (don't remember if it was the HNL->LAX or LAX-ORD leg), I had the two windows seats on a 777 reserved on a 2-5-2 configuration. Of course, someone was sitting in our seats. They played stupid and then moved to their middle seats when we showed them our boarding passes and kicked them out. Their middle seats were a row in front, so it was obvious they hadn't mistakenly read their boarding passes, but were instead trying to snag "upgrades."