I had mine (only did the 1 with first baby) at 35+3 weeks.

I worked with mainly women at the time (except for my boss) I ended up kinda using it as a fairwell party - I'd finished up work the day before - and they were all pretty good friends too. In my case I also had to wait til some family got back from holidays, and waited til after all the easter and long weekends around April/May, otherwise I'd probably would have had it a couple of weeks earlier (as I had a feeling I was going to have DS1 earlier). DS1 was born at 37+1weeks.

Most other baby showers I'd been to were after 35-36weeks too (and come to think of it...most of them ended up having their baby around 10days later)