Could be your fuel filter. When did you change it last. If the filter is dirty and the tank is really empty, it might be hard for the fuel pump to do it's thing. Could also be the fuel pump. Mine failed 2-weeks after I bought the car (used). Before it failed, the engine would stutter before starting, like if you don't hold the ingnition key long enough. You might want to check if there are any fault codes in the computer relating to the fuel system.

I'd recommend filling up before the gas light goes on. It's hard on the fuel pump when the tank is really low.