The 26 letters of the Latin alphabet have been around a long time and aren't liable to change anytime soon. The last letter was added to it around 400 years ago, but it's not Z, even though that is the "last letter." Take a guess at which letter it is before you continue with the next paragraph.
The newest of the 26 letters is J, which descended from the letter I. See, in Latin, I was used as both a vowel and a consonant. That consonant in Latin had the Y sound. But as English developed, the I started to be used for words pronounced like a J. At least we think so- we don't have sound recordings, but we can't imagine pronouncing Shakespeare's play as Romeo and Yooliet back in 1597 when it was spelled Romeo and Iuliet. The same with Iesus and Ioseph from the 1611 edition of the King James Bible. To make things easier, they introduced the J, which took quite a few years at the beginning of the 17th century to become standard. Read about the introduction of the J at Word Smarts. -Thanks, WTM!
Oh, here's a neat story about about how John Paul II insisted on the "J" in his Latin name.