My experience is that it that I get priority (as a Premier Exec) when I volunteer to get bumped. In fact, at OAK, the airport from which I start most of my trips, they'll occasionally even bump and compensate me right when I volunteer, before they announce that they're lookingn for volunteers.
Whether my trip continues past the first city, for example OAK-ORD-CLE, doesn't seem to influence whether or not I get bumped on the OAK-ORD segment.