Efficiently query for the most recent record for a given user

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!