If I could only pick one night to attend the event each year, it would be opening night.
Everything is new. Unfortunately, people like to destroy stuff, so if you o towards the end of the event you may see some sets in states that the designers had not intended.
Crowds are small. In late September most people are not yet thinking about halloween and ones that are, are people like you would find one websites such as this. In other words, you don't have a lot of the drunken john smiths that are there just because it is halloween.
Scareactors are fresh. Scareactors seem to be the most rested and energetic during the first weekend. At the same time though, most scareactors are still trying to get into their groove (figuring out scare tactics that work or not). Of corse there are always exceptions, so I think that this could go either way.
Opening ceremonies. In years past they would have 'opening scareamonies' that tied into the theme for that year. Unfortunately, they haven't really done this for the past few years.