solution.sql

SELECT DISTINCT ON (user_id) *
FROM (
   SELECT 'out' AS type, id, recipient_id AS user_id, body, created_at
   FROM   messages 
   WHERE  sender_id = 57

   UNION  ALL
   SELECT 'in' AS type, id, sender_id AS user_id, body, created_at
   FROM   messages 
   WHERE  recipient_id = 57
   ) sub
ORDER  BY user_id, created_at DESC;