The only reason I don't like boarding last is that sometimes the overhead storage is so full it can be a pain in the ass to fit my suitcase anywhere near my seat, which not only is a minor annoyance when boarding, but can delay me when getting off (if I have to put it further behind where I sit). Generally I aim to be in the last 3rd of people boarding.

There are also budget airlines that don't offer reserved seating (e.g. EasyJet and Ryanair in Europe - I think, I don't fly these airlines though), so priority boarding on them allows you to chose a seat, or to ensure you sit next to whoever you're traveling with.