The very fact that we have gotten to the point where we must ask this question to the masses makes me sad. As someone who grew up with a wide music library ranging from LPs (vinyl, for you silly people who don't know) to tapes to CDs, the idea of having music but still not having a physical copy to me is just... unreal.
I cannot, for the life of me, understand the mental thought that goes "but I have all my music on my mp3/iPod/phone/external hard drive/laptop/computer!" What will you do if your hard drive crashes? What do you do if the software no longer works? What will you do if where you got it from suddenly decides to take it back? Who says you own it? How do you know? A program that lists the gigabytes and gigabytes of music you "own" just doesn't cut it for me. I need to be able to hold the CD case, look at the album art, read the extra info added in for my interest by the band. It also helps that my stereo sounds better than any speaker computers I have found in my price range, so I buy a physical copy to make my ears happy. This, however, does not stop me from converting it to a portable digital format the night I have the CD in my care so I may listen to it on the go.
And sending a little money the way of the band whom I enjoy listening to is a nice little bonus as well. Even if they've already made millions in their music-industry lifetime, if I think their worth merits my money, goddammit, I'm sending them money. Even if it is only a few dollars from that one CD.
To you, the people who have said "I don't think I ever have" or "I don't think I have for over a decade..." I will never be able to understand what stops you. I will never understand your mentality. But I am happy you exist. You help encourage the furthering of the industry, be it in technology, or musically.
And to those that think the CD will die - it won't. CDs will not die in my lifetime. They are the accepted transfer of music, and will remain so. Why? The portability, durability (unlike LPs and tapes) and the ease of transfer to digital. Yes, there is software to record your vinyl to digital, but that is just so much work for so many people. Mind you, if you love your music enough to be wanting to convert it to digital, it's probably not too much work after all. And final proof the CD will not die: vinyl has managed to make a comeback after being mainly just a few used LPs here and there for the duration of the majority of the 90s.
As for your question, OP, the last CD I bought...
Well, the last CD that managed to join my music library was Apocalyptica's Plays Metallica By Four Cellos, though, it was a gift for Christmas.
Last time I went looking for a CD was this past Thursday, however I ended up home once again empty-handed. Finnish metal is just not the easiest thing to buy in Canada for some reason.
And the last CD I bought... It's difficult to tell. My mind has lost the concept of time over the past years, so I no longer remember when some things happened. However, it is a toss-up between two: Iron Maiden's The Final Frontier (as a few people mentioned) or when a small local band came knocking on my door, trying to sell their album. They can't get it into stores, unfortunately, as the major stores won't accept them. A pity - I think they're pretty good. However, because they came to my door with their iPod in tow to show me an example, I was able to get it autographed for whenever they do make it big. I will always remember the day Your Favorite Enemies came to my door, trying to sell their CD Love Is A Promise Whispering Goodbye. Not only was it pretty decent music, I was impressed they were courageous enough to spend their time asking complete strangers to support them. And I'm sure those of you who have ever spent time canvassing door-to-door will remember that for every eight people who answer their door, only one won't tell you they're busy and don't have time[footnote]Figures made up based on repressed memories of childhood fund-raising.[/footnote].