Their music was largely improvised; John Dugan writes "Granted, one person's free improvisation is another's tuneless chaos, but Last Exit, due primarily to the skill of its individuals, only infrequently fell off the precipice into the netherworld of arty wanking ... The playing is intricate, wildly adventurous, frequently funny, and, perhaps most important, a tribute to musical democracy in action." 
Far louder than most jazz bands (even than most free jazz groups) Last Exit found a modest following among some more open-minded hardcore punk fans. The band released five live albums, one of which contains guest appearances from Herbie Hancock and Akira Sakata. Most of their albums were released on Enemy Records, but the band's sole studio effort, Iron Path, was released on Venture, a sublabel of Virgin Records. Enhanced by Laswell's studio atmospherics, Iron Path found the band somewhat more restrained. It contains less of their blistering live sound, focusing more on studio textures and experiments.
Most of Last Exit's albums have been out of print for years; however, in 2005, Atavistic Records's Unheard Music Series reissued Köln.
The material heard on Köln was actually recorded in Germany on February 12, 1986, four days before the Paris concert that was recorded for the release issued as their self-titled debut album.
In a 1993 interview, Sharrock noted the likelihood that all of Last Exit's performances were recorded.