Has anyone heard about people that actually go down to the pier to try to catch a cruise at the VERY LAST MINUTE....

No. Because of security reasons they don't do that anymore.

Back before 9/11 you could.. Now i wonder if you could call a day or two before sailing?

Some cruiselines still list cruises for sale that are leaving in a couple of days, but I don't know how hard it would be to actually book one. I expect if you are a past passenger and they already have all your information, it might be possible. The most last minute we booked was 10 days before sailing, and we had to get flights to Copenhagen to catch the ship.