For Saturn, the last one I know of in Japan, as the other poster pointed out was Final Fight Revenge which came out March of 2000 which was one of Capcom's "Let's finish this already and get it out the door finally" twighlight era Saturn projects (Another game like this was Saturn's SF Zero 3, which came out in August of 99 (a full 1.5 months AFTER the Dreamcast release in that country). In the US, the last game was Magic Knight Rayearth, which while originally released years earlier in Japan did not finally get a US release until around November of 1998 (Released by the late great Working Designs).
I've heard that for N64, Tony Hawk 3 was like the last game released in the US, but i'm not certain.
for Dreamcast, the final title released in Japan as of this moment was Trizeal, which was created by Triangle Service and released by Taito around May of 2005, this is not the last official game however, because another shooter, Radilgy by Milestone is being officially released for the console early this year (get those pre orders in now! :D).