We found out with DS. He had the cord between his legs at 20 weeks but I had to go back at 21 weeks because he wouldn't turn to get his kidney scanned, at that scan he had his legs wide open. I then had scans every four weeks due to bleeding and he gave us a full frontal at each and every one so even if we hadn't wanted to know he took the decision to make himself known as a him!
With DD (35 weeks tomorrow) we wanted to know. From a practical point of view it meant I could sort through DS's baby things to see what would keep and what we needed to get, my brother had a newborn and so we had someone to pass things along to (and he had things to pass to us if we were having a boy), and I wanted to decorate DS's room, he'll be sharing with the baby eventually. From the non-practical side of it we lost a baby last year in the second trimester due to a late mmc so, awful as it sounds, we were on tenterhooks waiting to lose this one. Finding out the sex made us feel more able to bond with her because we could start thinking of her in terms of "her" and referring to her by name when we're alone together. We're also able to tell DS about his little sister rather than a nameless baby. We've kept the name we've chosen to ourselves as much as possible though.
It's a surprise whether you find out at 20 weeks or 40 weeks and both times I was elated to find out, with DD I even burst into tears I was so surprised.
If you want to find out then find out, there's still things to look forward to. I knew DS was a boy but I couldn't wait to find out which of us he would look most like, whether he would have hair, how much he would weigh, what his personality would be like, etc. There's much more to a baby than the gender and I don't regret finding out at all.