Funny you should ask that GWM
I was at the Marbella national police station only yesterday with friends that need a NIE.
The only reason you have to queue is to get the numbered ticket that ensures you are dealt with same day.
I arrived at 8-15 and joined the end of the queue - after about 30 mins we were given numbers 66 and 67 and the 790 form to pay the fee at the bank (gone up to 16 euros).
When you have your numbered ticket panic over, go and have a cup of coffee or breakfast - just get back around 11 and submit your application at the desk - I think they only give out around 80 tickets per day so we only just made it arriving at 8-15