The Fall and Learning How to Fly
Final Fantasy VII: Last Order is a special 30 minute OVA directed by Morio Asaka and animated by MADHOUSE. Last Order is a prequel that takes place directly before the game. The OVA tells the story of Cloud and Zack's struggles during their battle against Sephiroth in Nibelheim and Zack's death outside of Midgar. The purpose of the Last Order is to explain the events that led Cloud to become the "SOLDIER" he was during the game at a depth that could not be provided in an optional in-game cut scene. The OVA touches on several key points that help to establish other characters as well. The OVA explains how Sephiroth acted during his descent into madness, how Tifa grew to hate Shinra, and how Cloud escaped Hojo's clutches.
The only shortcomings of the OVA are seen in Crisis Core, which essentially tells the same story in a drawn out matter, from a different point of view. In Last Order, the fans hear one gunshot to mark Zack's death where as in Crisis Core fans play as Zack and watch him fall to hundreds of infantry men and helicopters, and in the game it takes 17 bullets. Scenes like this provide a discontinuity and leave fans debating which of the two is canon. Overall, however the OVA provides a good insight into Cloud's character and his motivations, while also giving Zack a semblance of depth never achieved in the games. For a 30 minute video it gives way more insight than the three disk game was able to provide, at least in terms of Cloud and Zack.
If you haven't had a chance to view this little gem yet, you may have a hard time finding in through legal means. In Japan it was part of Advent Children Pieces, a collector's edition that originally sold for $300 (though now it goes for $900 most of the time), while in the United States it was released as part of a special edition of Advent Children, which isn't actively on the market anymore.