First you should KNOW all different posts with comments:
global $wpdb;
$SelectSQL = "SELECT DISTINCT `comment_post_ID` FROM {$wpdb->comments} LIMIT 0, 15";
$Rows = $wpdb->get_results($SelectSQL);
then for each of these posts get the latest comment:
foreach($Rows as $row):
$comment = get_comments(array('post_id'=>$row->comment_post_ID, 'number'=>1, 'status'=>'appprove'));
$comment = $comment[0];
...
and continue with the display of comment, hope you are good at PHP 😉 .
See also: http://codex.wordpress.org/Function_Reference/get_comments