The Last Horror Movie is a particularly difficult movie to review. Just about anything you say about it is a potential spoiler, and I'm still somewhat undecided about whether I really liked it or not.
It is just about the purest form of high-concept, low-budget, movie making you're ever likely to see, which has it's pluses and minuses. I think the concept is truly brilliant, but the execution (if you'll pardon the pun) lets it down a little.
That said, if you think for a moment that what you are watching could be real, or even start asking yourself "what if it was real…", The Last Horror Movie is quite effective, and probably the scariest thing you'll ever watch. On the other hand, if that thought never enters your head, then you're more likely to laugh the whole thing off as a silly low budget shocker.
I have to admit, towards the later stages, this movie did get under my skin and managed, very briefly, to genuinely scare me.
PS - For reasons that I can't really eleborate on (IE spoilers), this is the one and only movie I'd suggest would be better enjoyed on VHS than DVD.