This has to do with how the MySQL Query Optimizer works. When you enter and execute a query, MySQL will construct a query plan. This is done by evaluating how the query can be executed in several different ways, and assigning "costs" to the different possibilities. These costs are based mostly on internal statistics, and includes data such as the number of rows in the table, the cardinality of different indices and so forth. When this is done, MySQL choses the least expensive plan and executes the query. The last_query_cost value is this cost value.
As you've no doubt seen in the manual:
The total cost of the last compiled
query as computed by the query
optimizer. This is useful for
comparing the cost of different query
plans for the same query. The default
value of 0 means that no query has
been compiled yet. The default value
is 0. Last_query_cost has session
scope.
This is indeed true. The value is only useful as a quantitative measurement to compare different queries.
There's some interesting resources on the query optimizer available online, if you want to learn more. Unfortunately, I don't have any links for you readily available, but it shouldn't be too hard to find some resources through a simple search for "mysql query optimizer".