The Last Great Day, the last holy day and feast day of the year, shows God's great wisdom and mercy towards all mankind that never had a real opportunity to learn about the true gospel and to obtain forgiveness of sins and salvation through Jesus Christ.
Most traditional, mainstream Christian churches have a problem. There is a puzzle they cannot answer. They cannot answer this question. The Bible is clear that only through Jesus Christ and through the gospel can anyone be saved (John 3:36, Acts 4:10-12, 1 John 5:11-12). The Bible is also clear that God is a God of love and mercy (Exodus 34:6-7, Luke 6:36, 1 John 4:8-10, 16) and that He is also all wise and all powerful. For God, nothing is impossible (Matthew 19:26, Mark 10:27). Yet history and present circumstances show that the vast majority of mankind has never heard the true gospel. Billions of people have lived and died without ever having heard of Jesus Christ or ever having an opportunity to hear the gospel message and respond to it. If we must believe in Jesus Christ before we die to be saved, then billions have lost out on salvation through no fault of their own because of circumstances of birth. And according to traditional Christianity, those who are lost suffer for all eternity in hell fire. How can that be? How can a God of love condemn these people to an eternity of agony when they never had a real chance to be saved in this life? Also, why hasn't God used His infinite power to make sure EVERY person heard the gospel before he or she died so everyone would have a chance to be saved?
That question is something most Protestants can't answer. And that apparent contradiction between the idea that God is all-powerful and all-good and the obvious historical situation showing that few have been saved is one reason why many thinking people have rejected religion altogether.
But God gives the answer to those who are willing to believe and obey Him.
God commanded not only the weekly Sabbath for mankind, but He also commanded seven annual holy days and festivals to be kept, days that have important symbolic meaning. These days are used to teach God's people lessons, and the lessons are made clear in the Bible. But God intended that those lessons be learned, not just by reading about these days, but by keeping these days as He commanded.
God's way of teaching is unique in this age. He has given mankind the Bible, yet He allows Satan to deceive most of mankind so that most people do not understand the Bible. Yet God gives understanding to those whom He calls and draws and who respond to His call in faith and obedience (Psalm 111:10, John 6:44). As we believe and obey, God helps us to understand. But those who do not believe and obey will not understand. So those who try to understand God's plan will not be able to understand it unless they do what God says. No one will understand the secrets that the annual holy days help to reveal unless they are willing to observe those holy days.
The Last Great Day pictures a future resurrection when all mankind that has not been called to salvation in this life will be resurrected back to physical life. This day is pictured in Ezekiel chapter 37 and in the book of Revelation. Notice Revelation 20:5 after the account of the saints being resurrected in the first resurrection and reigning with Christ for 1,000 years: "But the rest of the dead did not live again until the thousand years were finished..." Then Revelation 20:11-15: "Then I saw a great white throne and Him who sat on it, from whose face the earth and the heaven fled away. And there was found no place for them. And I saw the dead, small and great, standing before God, and books were opened. And another book was opened, which is the Book of Life. And the dead were judged according to their works, by the things which were written in the books. The sea gave up the dead who were in it, and Death and Hades delivered up the dead who were in them. And they were judged, each one according to his works. Then Death and Hades were cast into the lake of fire. This is the second death. And anyone not found written in the Book of Life was cast into the lake of fire." At that time Satan will not be around to deceive mankind, and the billions will have the opportunity to learn the truth for the first time. They will be judged for what they have done in this life, but they will have the opportunity to learn the true gospel and to repent and believe in God and Christ and have their sins forgiven. They can be saved at that time.
Millions in this world who profess Christianity mourn loved ones who have died without accepting Christ. They mourn unnecessarily thinking their loved ones are condemned and burning in hell forever with no chance for salvation. But this day pictures a hope for their loved ones, that in the future white throne judgment, they will finally have their understanding opened and will hear the true gospel and have a chance to accept Jesus Christ and have their sins forgiven. It will be their choice at that time, but they will have a chance to be saved and receive eternal life.
This is good news for those who have lost loved ones in that state.
Here are links to related sections in Preaching the Gospel:
Our Attitude and Approach Towards God's Word, Chapter 1
How to Understand the Bible, Chapter 1
Pentecost - the Gift of the Holy Spirit, Chapter 2
The Last Great Day - the White Throne Judgment, Chapter 2