Here you go. It is just some code for now, you can stick it in your theme files somewhere. I will probably turn it into a plugin as well soon.
Since categories do not really have a creation date, it sorts by their ID, which has the same effect. Just set $num_cats to choose how many to display, and you can customize the output generation – it is currently just displaying a list.
<?php
global $wpdb;
$tp = $wpdb->prefix;
$num_cats = 5;
$cats = (array)$wpdb->get_results("
SELECT {$tp}terms.term_id as id, {$tp}terms.name as name
FROM {$tp}terms, {$tp}term_taxonomy
WHERE {$tp}terms.term_id = {$tp}term_taxonomy.term_id
AND {$tp}term_taxonomy.taxonomy = 'category'
ORDER BY {$tp}terms.term_id DESC
LIMIT $num_cats
");
if (count($cats > 0)) {
echo '<p>Last ' . $num_cats . ' categories created:</p>';
echo '<ul>';
foreach ($cats as $c) {
echo '<li><a href="' . get_category_link($c->id) . '">' . htmlspecialchars($c->name) . '</a></li>';
}
echo '</ul>';
}
?>