Of course, it depends upon what the wizard does, what your user's expectations are and how often they use the wizard and how complex it is.
When I did a task/wizard based system, I found it useful to have an "Introduction" step which showed what the wizard would do and the data that would be entered. Also, I had a "Summary" step at the end to allow the user to review the changes that would happen if the clicked Finish.
This worked really well, but even better when I allowed individual users to skip the Introduction and/or Summary steps for wizards that they used a lot.
In this way, novice users got a lot of support and even users who were advanced on most tasks, but not familiar with seldom used ones found it good. On the other hand, the system allowed expert users who executed the same task several times per day to skip the repetitive screens, which they no longer needed, yielding a corresponding increase in productivity and user-satisfaction with the system.