I finished at 35wks with each pregnancy. It was policy at work to leave at this gestation. You had to get an EDC certificate from your OB and if you did stay and had approval to stay, you had to have an all clear from your OB or GP to do so, I could't be bothered and I enjoyed the time off. Although the first pregnancy I got quite bored towards the end as I went over and was just hanging around.
Weekly appointments with the OB as well in the last few weeks, another reason I didn't want to have to stay at work.