Couple of reasons.
1) The seller may have a shill bidder who bids higher than you (which reveals your max bid), then retracts that bid and bids just under your max bid. You pay your max and the losing bidder never had any intention of buying that item. Yes it's illegal, but proving it can be tough. Sniping during the last few seconds makes it difficult to pull this off, even with shilling software (which I'm sure exists too).
2) The more bids an item has, the more bids it tends to get - people tend to be more interested in things other people are interested in. Don't encourage them.
3) Bidding your max early simply gives some other guy a chance to develop auction fever as he sees himself beaten by only a dollar, so he winds up inching up his max bid "just a few dollars more" every day or so to until he wins the item or loses anyway but at a much higher price. Yes he wanted it more, but mostly because he couldn't stand to lose, and partly because the mere existence of your higher bid justified the higher price - your bid acts as a 3rd-party valuation for him, even though your credentials are unknown. For experienced ebayers whose ebay name is well-known, this is a worse problem because our credentials *are* well-known. And ebay lets you find out all the auctions a given individual is currently bidding on, so you can "stalk" an experienced bidder to find the good stuff.