I stayed at work until 38 weeks exactly.
My employer allows us to work until our due date, but a lot of employers will have a restriction, and a maximum no. weeks gestation that you can work up until. 34 and 36 weeks are quite common.

I had a very non-eventful pg though (no m/s, etc), and a desk job.
My work had a first aid room with a bed (stretcher type - like a massage table) though, so I would go in at lunchtime most days in the later stages and rest with my feet up for a half hour.

My son was 10 days overdue, and I did find it drove me insane being at home on my own for so long as he was my first bub, so I am not sure what I would have done if I had finished any earlier.