We didn't find out the first time, and don't want to this time. My joking reason was: The only thing that it will change is that everything at the shower would be the same color, and there's about a 50-50 chance it would be pink... which is NOT my favorite. ;-)
The deeper reason, though, is that we have very, VERY specific cultural notions of personality etc. tied to gender, and I wanted to minimize how much I thought I knew this person before I actually met them. (There's a really interesting experiment I learned about in college that made me realize this... they found that people actually *saw* newborn babies differently depending on what they thought the gender was.)
Not knowing drives my mother nuts! But she has to live with it.
When DH and I were dating, we found out we both wanted two kids, boy and a girl, boy first. We're halfway there, so we're hoping for a girl. Last time, though, everyone thought DS was going to be a girl, including me... so when DH said "We have a beautiful baby boy!" my thought was, "Huh! Imagine that." Then I saw him, and said, "Who are *you?*" because, knowing me and DH, I thought our baby would start off blonde haired (or bald) and blue-eyed, however s/he turned out later... and here was this ball of reddish-brown hair and gunmetal grey eyes looking at me. Goes to show, they're full of suprises!