I was in Chicago and rushed the show a few months ago. My friends and I arrived at about 7:00am and were the first there (although some other people had apparently actually been first and left to get some coffee). By 8:00 the line was substantial.
I believe they sell the rush tickets (first row) for both shows when the box office opens, although the apparently then start in on any unsold seats throughout the theatre. So I suppose it depends on how much you want to be sure that you have a seat.
'"Contrairiwise," continued Tweedledee, "if it was so, it might be; and if it were so, it would be; but as it isn't, it ain't. That's logic."'
~Lewis Carroll