ultimate: last; penultimate: next-to-last; antepenultimate: third from the end. Today — December 23 — is the antepenultimate day before Christmas!
We're all pretty familiar with the prefix ante-, meaning "earlier, prior to," from words like antediluvian, antebellum, antedate, and antecedent. The prefix pen-, meaning "almost," isn't so common; penumbra, for example, means "almost shadow." Antepenultimate, therefore, works out as "prior to almost the last." (This very well could be the antepenultimate blog post of 2009!)