You have asked one of the most hotly debated questions in English usage! That comma is called the serial comma or Oxford comma. (Here is a discussion about it on english.stackexchange.com.) Some people say you would use it; others say you should not. The problem is that either way can make a sentence less clear.
With no comma:
I would like to thank my parents, Ayn Rand and God.
That makes it look like my parents are Ayn Rand and God.
With the comma:
Those at the ceremony were the commodore, the fleet captain, the donor of the cup, Mr. Smith, and Mr. Jones.
That makes it look like the donor of the cup was Mr. Smith.
And sometimes it's unclear either way:
The highlights of his global tour include encounters with Nelson Mandela, an 800-year-old demigod and a dildo collector.
The highlights of his global tour include encounters with Nelson Mandela, an 800-year-old demigod, and a dildo collector.
The first version, without the comma, makes it look like Nelson Mandela is an 800-year-old demigod and a dildo collector. The second version, with the comma, still makes it look like Nelson Mandela might be an 800-year-old demigod (but not a dildo collector).
In your example sentence it doesn't really make any difference: nobody is going to be confused either way. My personal opinion is that it looks and reads better with the comma.