Short answer is you can’t.
Background
At least I have not been able to find a procedure or free app that does this. I found some web pages that say to use the Call button to dial the last call in the recent list. The use of the Call button on the keypad gui didn’t work for me. Still requires multiple key presses and did not bring up the last dialed number as stated.
Update: the Call button method will use the last dialed number, not the most recent number in the Recent list. So, using Call is a viable approach.
Suggestion
So what to do? The easiest way I found is to add the target number to your favorites list. Now to rapidly redial just tap the contact in the Favorites list, then tap the Speaker icon. Busy? Just tap “End call”. Repeat.
Questions
My question: why doesn’t the iPhone have a real redial capability, other smart phones do? Is it some kind of industry requirement or for reduction in negative possibilities?
Update
August 12, 2011: Anything changed about this feature or lack thereof? I am still using the first iPhone (yup, doesn’t even update anymore, and the fake GPS map doesn’t even work). Do the newer iPhone or Android phones have this feature built in?
Ralph Towner: Drifting Petals
Available at Amazon

there no app for iphone and anriod doesnt this freature either !
There are Android apps for this. I did a quick search. The first one I found had a lot of negative reviews.
Is there a conspiracy with iPhone and basic services there is not reliable call block feature or a reliable redial feature. Both you would think would be basic features for any phone let alone the covenanted iPhone. IT IS 2012 For-real these are still challenges for us in a world with artificial intelligence … Amazing
Auto Redial Helper is no use
need manual hang up the call
You can try some iPhone app like Auto Redial Helper to achieve this