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EHeller comments on Why the tails come apart - LessWrong
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I see a lot of stepwise regression being used by non-statisticians, but I think statisticians themselves think its something of a joke. If you have more predictors than you can fit coefficients for, and want an understandable linear model you are better off with something like LASSO.
Edit: Don't just take my word for it, google found this blog post for me: http://andrewgelman.com/2014/06/02/hate-stepwise-regression/
I concur. Stepwise regression is a very crude technique.
I find it useful as an initial filter if I have to dig through a LOT of potential predictors, but you can't rely on it to produce a decent model.