I did the Midnight thing for Episode I. It was fun, and I managed to find the three figures I wanted before any others- Qui-Gon, Obi-Wan, and Darth Maul.
For Episode II, I could have gone to Wal-Mart to pick up stuff, but I waited and made the rounds the next morning. I found Anakin HD, Yoda, and a red Clone Trooper, but I didn't find Count Dooku until a few weeks later. Great times, man. I might hit a Wal-Mart at midnight for Episode III, but I've got some time to think about that.