From A Wiki of Ice and Fire
The Last River is a river found in the most northern part of the North, nearer to the Wall than to Winterfell. Much of the land on either side of the river is ruled by House Umber.
The Last River's headwaters are a number of streams in the northern mountains. It flows east past the kingsroad and through the Umber forest containing Last Hearth. The river then continues southeast between the Dreadfort and Karhold to the Shivering Sea. There is ice fishing on the northern rivers.
A Clash of Kings
Umbers led by Hother and Mors come from beyond the Last River to attend the harvest feast in Winterfell.
The Umbers are reported as gathering men beyond the Last River to assist in the recovery of Winterfell from Theon Greyjoy's ironborn.
A Dance with Dragons
When Stannis Baratheon considers marching from Castle Black to the Dreadfort, Jon Snow warns him that Umbers led by Mors would cut his host to pieces when Stannis travels past the Last River and the Lonely Hills. Stannis instead travels west to the northern mountain clans and Deepwood Motte.
References and Notes