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We consider the delay properties of max-weight opportunistic scheduling in a multi-user ON/OFF wireless system, such as a multi-user downlink or uplink. It is well known that max-weight scheduling stabilizes the network (and hence yields maximum throughput) whenever input rates are inside the network capacity region. We show that when arrival and channel processes are independent, average delay of the max-weight policy is order-optimal, in the sense that it does not grow with the number of network links. While recent queue-grouping algorithms are known to also yield order-optimal delay, this is the first such result for the simpler class of max-weight policies. We then consider multi-rate transmission models and show that average delay in this case typically does increase with the network size due to queues containing a small number of ldquoresidualrdquo packets.