There are at least three bands with this name: 1) Last Exit (International avant-garde/free jazz band)
2) Last Exit (British jazz fusion band)
3) Last Exit (British power electronics project) 1) Last Exit was an avant-garde jazz supergroup composed of electric guitarist Sonny Sharrock, drummer/occasional vocalist Ronald Shannon Jackson, saxophonist Peter Brötzmann, and bass guitarist Bill Laswell. They were active from 1986 to about 1996, releasing primarily live albums recorded in Europe.

Read more about Last Exit on Last.fm.