DC1 finished at 33 weeks - 2 weeks annual leave then mat leave from 35 weeks. A v good decision, was utterly fed up with my boss and was glad to get away from her and I figured that I'd never get this time to myself again (I was right about that!).
Spent the time meeting friends for lunch, daytime cinema, afternoon naps, spending a bit of time with DH (he is self-employed so I could go to his workplace and hang out there and drink tea), preparing last minute stuff for the nursery, cleaning the house and generally nesting, cooking for the freezer (invaluable post birth) and generally enjoying myself!
It also gave me time to think and get my head together before the massive life-change.
DC2 finished at 36 weeks. Again, 2 weeks AL then ML from then. Was working PT so not quite as desperate to get away!
No opportunity for relaxation with a 2 and a half year old around though. Spent his 2 nursery sessions a week doing the freezer cooking but no real time to rest!
DC3, will finish at 36 weeks again. No let up with school and nursery runs to do.
I would advise anybody to finish a little sooner and enjoy the time beforehand, you will be a parent forever afterwards and it will probably be many years before you get the chance to spend time solely on yourself. Enjoy it!