We should take pains to differentiate between states and peoples here. The process of converting an entire area to Christianity was not a quick one, and often never fully complete in terms of stamping out pagan practices. There are reports of Welsh Celtic traditions surviving in that region up until the early 20th century, including sorceresses/witches that were relied upon as healers and elders (although excluded from overall society). Meanwhile, the population as a whole was still 'Christian'. This sort of integration of domestic belief systems and customs was relatively common during the spread of Christianity, and could take a long time to stamp out unless directly co-opted by the Church.

Back to the question. What was the last hold-out leadership wise in Europe? That would be the Grand Duke of Lithuania, Jogaila, who converted in 1386, largely to stem the tide of the Catholic crusaders and secure an alliance with Poland. After he converted, there remained no 'officially' non-christian states within Europe, outside of the Turks of course.

In terms of peoples, as mentioned above, this process would take a long time, however, as far as I am aware, the longest hold-outs were the Sami people of northern Scandinavian, who didn't really start to convert until the 17th and 18th centuries. However, the process was slower in some areas as compared to others. We can generally view 'christianization' of a land as primarily a top-down initiative rather than a bottom-up one, which means the effectiveness of that imposition on the populace largely depends upon the 'top's' control over the 'bottom'. In Scandinavia, this was much less than say, Poland, where conversion was quicker and more universal. The Sami in particular were largely autonomous and self-sufficient until recently (historically speaking), while countries like Norway and Sweden as a whole have always had a strong leaning towards less centralization of authority in the monarch as compared to European contemporaries.

Probably the last pagan society in Europe was the kingdom/grand duchy of Lithuania and surrounding kingdoms/duchues. Situated in the Baltic. They had an polytheistic system of gods, (similar to the Scandinavian people in the early middle ages).

They often fought with the Teutonic Order during the Northern Crusades and eventually they converted to Carholicism in the 13th and 14th century when the last of the pagans converted.