There is a great ladder of religious cruelty, and, of its many rungs, three are the most important. People used to make human sacrifices to their god, perhaps even sacrificing those they loved the best ... Then, during the moral epoch of humanity, people sacrificed the strongest instincts they had, their 'nature,' to their god; the joy of this particular festival shines in the cruel eyes of the ascetic, that enthusiastic piece of 'anti-nature.' Finally: what was left to be sacrificed? In the end, didn't people have to sacrifice all comfort and hope, everything holy or healing, any faith in hidden harmony or a future filled with justice and bliss? Didn't people have to sacrifice God himself and worship rocks, stupidity, gravity, fate, or nothingness out of sheer cruelty to themselves? To sacrifice God for nothingness — that paradoxical mystery of the final cruelty has been reserved for the race that is now approaching: by now we all know something about this.
As is often the case, Nietzsche is using 'finally' here ('...finally: what was left to be sacrificed?') ironically. Something does remain to be sacrificed, and indeed he is advocating precisely that sacrifice: he is, in other words, asking us to sacrifice sacrifice itself ... the ultimate sacrifice.