I prefer afternoon appointments as well.

I currently have both - one first thing in the morning (before work) and one at the end of the day (after work). I tend to be more restricted and less willing to 'go there' in the early appointments because I know that, if I do, I will be ruminating on the subject the entire day at work and that's no good. So, afternoon is definitely my choice. Then I have time to be alone afterward, plus, because it is my T's last appointment, it's okay if sometimes we run over and she isn't worried about rushing to get to the next client and be on time.