They're almost always either on a Saturday or Sunday, never heard of anything different unless it's a work related party.
The week would involve even more people not being able to come. I personally would not ask for a day off if my days were limited...I think you'll find that if a weekend is a busy time, your best bet is a Sunday.
Mine is this sunday
DS dx with celiac disease 5/28/10
I've only ever been invited to Saturday showers, but would go on a Sunday if it didn't conflict with church.
There's just no way I could make it on a weeknight unless I took time off of work, and I really can't see doing that for a shower.