This verse is paraphrased in the prayer “You are Hashem, our G-d,” which follows the Shema in the preliminary morning service. The Metzudas David tells us that when G-d says “I am first,” He means to say that He existed before the world was created. By “I am last,” He is telling us that He will still be here after the world is gone.

(Sharp-eyed readers may note that we've had this verse before, with a different commentary. It was bound to happen eventually!)