In many/most shells (bash) it inserts the last word of the last line at the position of the cursor. It's very handy when you want to do two or more things to the same file because you don't have to retype the name, just hit alt-..

Ah, it changes my tile layout in xmonad...

Edit: Well, I tend to use vim keybindings for readline, but I found it in the man page under "default keybindings", I think:

    "M-."  yank-last-arg
    (...)
    "M-_"  yank-last-arg

No default binding for vi mode apparently.