protected function _prepareCollection()
{
    $collection = Mage::getResourceModel('customer/customer_collection')
        ->addNameToSelect()
        ->addAttributeToSelect('email')
        ->addAttributeToSelect('created_at')
        ->addAttributeToSelect('group_id')
        ->joinAttribute('billing_postcode', 'customer_address/postcode', 'default_billing', null, 'left')
        ->joinAttribute('billing_city', 'customer_address/city', 'default_billing', null, 'left')
        ->joinAttribute('billing_telephone', 'customer_address/telephone', 'default_billing', null, 'left')
        ->joinAttribute('billing_region', 'customer_address/region', 'default_billing', null, 'left')
        ->joinAttribute('billing_country_id', 'customer_address/country_id', 'default_billing', null, 'left');

    $collection->addAttributeToSelect('salesrep');
        parent::setCollection($collection);

    // GET LAST ORDER DATE
    $sql ='SELECT MAX(o.created_at)'
        . ' FROM ' . Mage::getSingleton('core/resource')->getTableName('sales/order') . ' AS o'
        . ' WHERE o.customer_id = e.entity_id ';
    $expr = new Zend_Db_Expr('(' . $sql . ')');

    $collection->getSelect()->from(null, array('last_order_date'=>$expr));

    $this->setCollection($collection);

    return parent::_prepareCollection();
}

protected function _prepareColumns()
{
...

$this->addColumn('last_order_date', array(
        'header'    => Mage::helper('customer')->__('Last Order Date'),
        'type'      => 'datetime',
        'align'     => 'left',
        'index'     => 'last_order_date',
        'gmtoffset' => true
    ));

...