Bidding at the latest possible moment makes a lot of sense. I sell quite a bit on ebay, and basically as soon as one person bids - those items attract more bids, even if there are other items the same, from the same seller, that are still at their starting price with no bids.
Also, there are a lot of people who still bid incrementally, and don't put in their max bid straight off the bat, even if something only has 10minutes to go. Therefore, if you have placed your max bid with say, 3 days to go, people will just bid up and up and you significantly increase your chances of either being outbid, or paying more than you would have done otherwise. On top of that, people get attached to things they have bid on, and if you get out bid with 2 days to go, it is very easy to have another little spin of the wheel - not applicable to everyone I know, but it does happen. If you have never bid on something and it goes above what you're willing to pay, you don't have that same attachment and it's easier to walk away.
There are basically no benefits to bidding early, but lots for bidding late. Setting up a free auction sniper means you don't even have to worry about being there when it finishes.
I think it depends on how much you want something and how rare it is.
I have lost out in the past as I left it to the last minute and then got beat in the last second or my broadband hung before I put in a bid or whatever - second place gets naff all - if is the
item you need to finish a project or the item comes up once a year or something that can be gutting.
If you really want something then bid early and bid as much as you can afford plus a bit - especially if the item is hard to find.
If it is a more common item then try and save a few quid dicing with the other chancers and snipers in the closing seconds but don't complain if you miss out!