\documentclass{report}

\usepackage{tocloft}

% https://tex.stackexchange.com/a/12869/5764
\newlength{\mylen}
\setlength{\cftfigindent}{0pt}
\renewcommand{\cftfigpresnum}{\figurename\enspace}
\renewcommand{\cftfigaftersnum}{.}
\settowidth{\mylen}{\cftfigpresnum\cftfigaftersnum}
\addtolength{\cftfignumwidth}{\mylen}

\begin{document}

\listoffigures% Set the List of Figures

\chapter{A chapter}

\begin{figure}
  \caption{First figure}
\end{figure}

\begin{figure}
  \caption{Second figure}
\end{figure}

\begin{figure}
  \caption{Third figure}
\end{figure}

\begin{figure}
  \caption{Last figure}
\end{figure}

\end{document}