Seleccionar filas ordenadas por alguna columna y distintas en otra

Una pregunta bastante clara :)

SELECT t1.* FROM purchases t1
LEFT JOIN purchases t2
ON t1.address_id = t2.address_id AND t1.purchased_at < t2.purchased_at
WHERE t2.purchased_at IS NULL
ORDER BY t1.purchased_at DESC

Y muy probablemente un enfoque más rápido:

SELECT t1.* FROM purchases t1
JOIN (
    SELECT address_id, max(purchased_at) max_purchased_at
    FROM purchases
    GROUP BY address_id
) t2
ON t1.address_id = t2.address_id AND t1.purchased_at = t2.max_purchased_at
ORDER BY t1.purchased_at DESC