I'm only 1 game in, and I went first, and I came last. And I was cheating too! (accidentally) If I hadnt been cheating, I'd have been even more last (if that is possible).
I allowed myself to sacrifice things to gain good baggage on my plots when it wasnt my turn since nothing in the rules said I couldnt and it takes no time. However, Kevin has said on another thread that it has to be done on your turn.
So, the player who goes first has a big disadvatage regarding their plots since the other players ended up making the final decisions on how much bad baggage I got. Whereas, if I went last, I could have final say over this. So I think going last is better. I saw no real advantage at all to me going first all game apart from maybe on the first turn with leads, but that was because they were near me.
Whilst completely unrealistic, I was thinking of amending the scene of the crime action to allow you to move the start player marker to another player, rather than claiming it yourself. Because in our game, it really hurt me that I had it, so the other players never bothered taking it off me and there was nothing at all I could do about it.