I like devinemke's approach. Maybe tweak it a little to have it all in one query:
SELECT * FROM table WHERE last_name LIKE 'a%' or last_name LIKE 'b%' or last_name LIKE 'c%' (etc)
Using regular expressions definitey makes the query shorter and easier to code. But my concern would be along the lines of what kind of query performance hit do you take for it and do you have any intentions of ever moving your data to another database engine? In this example, I don't think the regular expression will tax the database much if any in this example (but might be worth experimenting with).