His last completed film was "The Dark Knight" (2008) where he played the iconic role of the Joker.
However, there was one more film he had begun work on before his passing, "The Imaginarium of Doctor Parnassus", which was completed after his death using CGI and other actors (Johnny Depp, Jude Law, and Colin Farrell) to portray his character.
So, depending on how you define "last movie," the answer could be either "The Dark Knight" or "The Imaginarium of Doctor Parnassus".