The closest I got was to use an Applescript service that was given as a tip for Lion (see: What is the Keyboard Shortcut for Moving to the First/Last Message in Mail.app in Mac OS X Lion?):
on run {input, parameters}
tell application "Mail" to set selected messages of first message viewer to last item of messages of first message viewer
end run
However, this script doesn't work if the last message is a thread with multiple messages.
