Fighting extradition within the United States almost always serves only to delay the inevitable. There is no specific penalty for waiving extradition, but the defendant will probably simply sit in jail until they obtain the proper paperwork (frequently a Governor's warrant), and end up transporting the person anyway.
I don't know what the details are in other states, but if you are held in KY on a Mass warrant, you do not get credit for the time you are held out of state. So let's say, for example, that you are held in KY for a threatening charge in Mass. The maximum penalty in Mass for threatening is six months. So if you're held in KY for 5 months and are brought to Mass, convicted, and sentenced to six months, you'll spend the six months in jail, where if you had been held in Mass pre-trial for five months, you would only spend one month serving the sentence.