I am new into Android world. I was just referring this tutorial from Google: http://developer.android.com/training/location/retrieve-current.html
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What eventually worked for me was setting a location (I use Genymotion, so the "GPS widget" in the upper right corner), then starting Google Maps, and then running my app.
My guess is that my app wasn't actually setting the current location (which I thought connecting my locationClient would do automatically) - Google Maps checks and sets the location, so getLastLocation actually has something to return.