Just in case there’s any confusion about which links I’m talking about, here’s the detail for this very thread:
On the ‘New Posts’ page (and probably the forum page as well), the ‘Last Post’ button links to
http://www.casinoaffiliateprograms.com/bb/last-post-links-not-working.6927.html?goto=lastpost
which apparently ignores the “goto=lastpost” part, and just takes you to the top of the thread, even if it is a multi-page thread.
The last-page links inside the thread link to showthread.php and work fine.