Is it safe to apply last update when a module has several updates available? Have an old Drupal 6 site that has a lot of available updates for modules, core and theme.

When a module has several updates available from the currently installed one to the latest, I understand it's safer to apply them in order. Can I skip this and just install the latest version of the module? Is there a way to know when it's safe, and when not? Visiting updating notes tells about bug fixed, but no info about this. Is there a way to know if the update will make changes to database, so if I have a pre-production and production enviroment, can plan accordingly?

Also for core Drupal updates, I think that in that case applying every update in order is mandatory. Am I right?

I've checked official Drupal information abaout updates, but doesn't state anything about it (it says that you can update multiple modules at the same time, but beware of dependencies between them).
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.