:last-child is really the only way to do it without modifying the HTML – but assuming you can do that, the main option is just to give it a class="last-item", then do:
li.last-item { /* ... */ }
Obviously, you can automate this in the dynamic page generation language of your choice. Also, there is a lastChild JavaScript property in the W3C DOM.
Here’s an example of doing what you want in Prototype:
$$("ul").each(function(x) { $(x.lastChild).addClassName("last-item"); });
Or even more simply:
$$("ul li:last-child").each(function(x) { x.addClassName("last-item"); });
In jQuery, you can write it even more compactly:
$("ul li:last-child").addClass("last-item");
Also note that this should work without using the actual last-child CSS selector – rather, a JavaScript implementation of it is used – so it should be less buggy and more reliable across browsers.