Is it safe to apply last update when a module has several updates available?
Installing the latest version straight off should be fine in most cases.**

If the module updates only contain minor code changes then there's almost certainly nothing to worry about.

If the module updates contain more major changes such as alterations to the database schema then the module maintainer should be using the hook_update_N() function in a "module_name.install" file which will allow Drupal to determine which updates fall between your currently installed version and the latest version, and apply the necessary modifications in sequence, meaning no breakage should occur. Drupal core is no different to any other module in this respect, so you should also be able to update to the latest core version without any problem.

**If the module has seen a major version increase, for example, you have 6.x-1.7 installed and the latest version is 6.x-3.2, then you should check the module's project page and documentation for any compatibility notes or special instructions for updating. In some cases the versions may not be compatible and would need to be manually migrated, or some dependency may have changed, which the module maintainer should inform you about somewhere.

The only other problem I can think of is the unlikely situation where an API change has occurred in Drupal core at some point and one of your modules was abandoned and never updated to take account of the API change. In that case, you may need to find a patch in the module's issue queue, disable the module, or find an alternative module.

Also, this may be stating the obvious, but if your site is running on Drupal 6, you won't be able to install any module updates with version numbers beginning 7.x- because those are for Drupal 7 and won't be backwards compatible. You'll have to stick to the latest 6.x- version.

Having said all that, you should always carry out a test run of the update process in a testing environment before you go anywhere near the production server. Make sure to clone the live database and all the Drupal files from your production server to your test environment so that you can safely determine exactly what effects the updates will have.