There could be a few reasons for this, I'm sure some of the more technical will chime in with some possible explanations and/or further clarification.
Poor quality DMX cables and whether or not you use a DMX Terminator plug on your last fixture could be possible causes. I used to occasionally have one fixture lagging during scenes. A DMX terminator plug solved the issue.
Edit* Here's a 'techy' thread about DMX termination. It made my head buzz reading it. Tony didn't write it did he? :d
http://business.virgin.net/tom.baldw...terminate.html