I just read the character in Skyrim is the Last Dragonborn... I always thought that term meant he was the last one as in the latest one to be alive, I didn't know he was going to be the actual last one to ever live.

Why are there not going to be anymore? Is it an excuse for Bethesda to have a reason for the next character not to be one? I read it was because of The Wheel, whatever the heck that is, explain?

What does this mean for the Blades? What happens when Alduin returns? What about the Emperors?

Nope the LDB is the last one ever because there is no more use for a Dragonborn around, Alduin was reclaimed by akatosh and the dragonfires no longer need to be lit. Since the dragonfires no longer need to be lit then the throne no longer needs to be held by a Dragonborn and Alduin is still an avatar of Akatosh and he'll cause the end of this Kalpa when necessary as is his duty.

I don't believe the Dragonborn were only supposed to 1. lead Tamriel and 2. fight Alduin. So in my mind, we don't know why the player is the last yet.