As far as I remember, he wasn't in the Hobbit movies, so it should be Return of the King.

Either way, I would have said you could pick which movie was the last since it could be counted in two different ways. Either by the LotR/Hobbit time scale (which puts Return of the King as the "last" movie) or the order in which they were released (which would be Smaug's Desolation currently).

I hope that helps :)