The last stitch is always loose.... but there's a few tricks to tighten it up. Some people always slip the first stitch of the row, but I've found that if you gently tug on the first stitch, it pulls up some slack from the end stitch on the row below. Then I knit the next couple a little tighter.
Basically, you have uneven tension and getting it even comes with practice. If you're working on a project, you might want to set it aside and use some other yarn to `practice' on. Just knit - garter stitch, stockinette, both, whatever - doesn't have to be anything but a sampler. After several inches you'll find your tension improves. You may also want to try different ways of holding your yarn - there's about a bazillion - one way may work better for you than others.