Efficiently query for the most recent record for a given user

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Let's say I have a table something like this:

   create table call_activity (
        id int8 not null,
        called timestamp,
        user_id int8 not null,
        primary key (id)
        foreign key (user_id) references my_users
    )


I want to get the last call_activity record for a single user.  Is there ANY way to efficiently retrieve the last record for a specified user_id, or do I need to de-normalize and update a table with a single row for each user each time a new call_activity record is inserted? I know I how to do the query without the summary table (subquery or GROUP BY with MAX) but that seems like it will never perform well for large data sets. Or am I full of beans and it should perform just fine for a huge data set as long as I have an index on "called"? 

Thanks in advance!

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