gistfile1.php

<?php
add_filter( 'wp_nav_menu_objects', 'tgm_filter_menu_class' );
/**
 * Filters the first and last nav menu objects in your menus
 * to add custom classes.
 *
 * @since 1.0.0
 *
 * @param object $objects  An array of nav menu objects.
 * @return object $objects Amended array of nav menu objects with new class.
 */
function tgm_filter_menu_class( $objects ) {

    // Add "first-menu-item" class to the first menu object.
    $objects[1]->classes[] = 'first-menu-item';

    // Add "last-menu-item" class to the last menu object.
    $objects[count( $objects )]->classes[] = 'last-menu-item';

    // Return the menu objects.
    return $objects;

}

I can see this making nav styling easier in Internet Explorer 6-8 which don't support the first-child and last-child pseudo-elements.