pe·nul·ti·mate [peˈnəltəmit] adj. Last but one in a series of things; second last: "the penultimate chapter of the book."
Synonyms: next-to-last (more a phrase-as-word, but hey, whatever)
Etymology: 1670s, from penultima (n.) on model of proximate.
Well that's boring, let's look at Penultima: 1580s, from Latin penultima (syllaba), "the next to the last syllable of a word or verse," from fem. of Latin adjective penultimus "next-to-last," from paene "almost" + ultimus "final" (see ultimate).
There we go. My understanding of this word was not quite right until today.