The last is a model of a foot they use to design the shoe. If your foot is nothing like the last the designer/brand uses than they will not fit your feet well. Since this is a really expensive process the cheaper shoes usually skimp here and that is why designer shoes are usually more comfortable.
I find with some brands (i.e., Donald Pliner) the arch support in the shoe does not line up with mine or something so my arches hurt for days even though the ball of my feet are fine in them. Other shoes the balls of my feet hurt. This can be again from the last, a lack of padding, or the heel is too high.