I tried it at 41 weeks, and also walked 3 miles the same evening (which was enough to get me really tired and having lots of bh contractions at that point). Labor started later that night (about 1:30 AM.) Of course, I don't know whether it was the sex or the walking, or both, or neither.
One more thing... I know lots of people who have tried it and not had it work for them. But an interesting tidbit I just read in Ina May's Guide to Childbirth: anecdotally (based on her years of experience) women who remain relatively sexually active throughout their pregnancies tend to not carry much beyond 40 weeks.
We did it the day before my EDD. I was having irregular rushes, my cervix was softening but not starting to dilate at all. It definitely helped kick things into gear, and with the help of some homeopathic cohosh, baby was born in a matter of hours instead of days (as I was dreading it would be at the time).