Last Activated Cell

You only get events triggered when you ENTER a cell, not when you exit it, so you would need to keep a history of the cell you were in before the one you were in now.
Something like this in the 'Sheet' area of the code:

Dim cell_position(0 To 1) As String

Private Sub Worksheet_SelectionChange(ByVal Target As Range)
cell_position(1) = cell_position(0)
cell_position(0) = Target.Address
End Sub

Sub Go_Back()
    If cell_position(1) <> "" Then
        Range(cell_position(1)).Select
    Else
        MsgBox "No previous cell stored"
    End If
End Sub