We haven't yet played out of town but from my experiences thus far (and they are definitely somewhat limited), is that we definitely like to play earlier in the lineup (second seems to be the sweet spot in a four-band lineup), especially if it's not a Friday or Saturday - that way people will have already gone in to see the other bands but it's still early enough before people start to leave. Obviously, weekends don't pose this kind of a problem near as much, but as a newish band, we have been playing a decent amount of weeknight/Sundays and going later has proven difficult to keep people around in many regards.