Sort by column ASC, but NULL values first?

Postgres has the NULLS FIRST | LAST modifiers for ORDER BY expression:

... ORDER BY last_updated NULLS FIRST

The typical use case is with descending sort order (DESC), which produces the complete inversion of the default ascending order (ASC) with null values first - which is often not desirable. To sort NULL values last:

... ORDER BY last_updated DESC NULLS LAST

To support the query with an index, make it match:

CREATE INDEX foo_idx ON tbl (last_updated DESC NULLS LAST);

Postgres can read btree indexes backwards, but for some query plans it matters where NULL values are appended. See:

• Performance impact of view on aggregate function vs result set limiting

You can create a custom ORDER BY using a CASE statement.
The CASE statement checks for your condition and assigns to rows which meet that condition a lower value than that which is assigned to rows which do not meet the condition.
It's probably easiest to understand given an example:

  SELECT last_updated 
    FROM your_table 
ORDER BY CASE WHEN last_updated IS NULL THEN 0 ELSE 1 END, 
         last_updated ASC;