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I know it is a reference of some sort to "space", but in what sense and why?

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That's under the assumption that there's nothing beyond (ne plus ultra). –  user730 Dec 20 '10 at 11:14
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Not to be confused with "The Last Frontier", which is Alaska's nickname. –  mmyers Dec 20 '10 at 20:22
    
As of the end of 2012, the 'final frontier' was commonly used to refer to gold's impending surge over the $2000 mark, a level it had never crossed previously in its entire history of being priced in US Dollars. –  user30947 Nov 15 '12 at 14:50
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The phrase became popular for being in the opening narration of Star Trek:

Space: the final frontier. These are the voyages of the starship Enterprise. Its five-year mission: to explore strange new worlds, to seek out new life and new civilizations, to boldly go where no man has gone before.

The idea is that the space is the final frontier for the man to cross to be able to explore new worlds. The previous frontiers would have been on Earth itself, when mankind crossed oceans to explore new continents, for example.

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"The frontier" is often used to describe the farthest reaches of civilization (or whatever's viewed as civilized by the speaker). So in the early years of the US, what was considered the frontier by settlers advanced slowly West across the continent. The frontier is usually considered the province of the explorer or the early settler.

By the 60s (when Star Trek popularized the phrase as noted by Bruno R.), humanity had to look beyond the surface of the Earth for the frontier.

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