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
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.