Is there a way to set the pager's page number programmatically without the page being in the url? I would like a user who has previously left a comment on a node to initially see the last page of comments while a new user (to that node) will initially see the first page of comments.
I know that the page is controlled by the pager and is set by the "page" variable in the URL ($_GET['page']). Is there a way to set this programmatically? 

(Just to clarify, I am not using the Views module on this project.)
You can use AJAX to call a new request so you will not have the page in the URL
or, if you use Views, select "Use AJAX" under the Advanced Settings, and it will enable AJAX on your pager.