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It doesn't matter, as the main point is simply playing the game. I'd probably pick 2nd place though, just because it'd likely make it a longer game. ^_^
It really depends on the competition. If it's something that I should be good at, then I would pick second, since I get salty if I lose - I'd rather get second and be salty than last and be salty. If the competition is something I don't really care about, then I would pick last, since best case I save time and I don't have to get salty about almost winning.