This is a very good, very funny film that gets to the heart of the subject matter nicely. Its a film that takes the time to show all sides of the subject, going so far as to go to a convention of Holocaust survivors in Las Vegas. If you don't mind the subject matter odds are you are going to at least like the film.
While the film stays rather close to the notion of the Holocaust and humor, the film gets into a bit of trouble when it tries to broaden the discussion since the excursions off the central topic don't quite lead anywhere and point out that film should have not gone too far afield. I say this because a more general subject about humor and censorship called CAN WE TAKE A JOKE which played at DOC NYC last year covered similar territory and rocked the pillars of heaven. This isn't to say that THE LAST LAUGH is bad. That's not remotely the case, more its to point out that the film isn't as good as it should have been.
Slight reservation it's highly recommended