Try this:

$list_params = array(
     'limit' => 4,
     'full_view' => false,
     'list_type_toggle' => false,
     'pagination' => false,
     'owner_guid' => elgg_get_logged_in_user_guid(),
);

//grab the latest 4 blog posts for the user
$list_params['subtype'] = 'blog';
$blogs = elgg_list_entities($list_params);

//grab the latest bookmarks for the user
$list_params['subtype'] = 'bookmarks';
$bookmarks = elgg_list_entities($list_params);

//grab the latest files for the user
$list_params['subtype'] = 'file';
$files = elgg_list_entities($list_params);

I'm not trying to list a single owners entities of a subtype.  I want to list all entities of a subtype but only want to show the latest one entity of each user.  If someone posted 5 times to the entity "file" I just want to show the latest post not all 5 and then I want to show the rest for all users that posted to the subtype "file"

'group_by' => 'e.owner_guid' might do the trick

Ismayil this was so close and way easier then what I was trying to do!  The only issue is its show the oldest post not the newest post.  Any ideas?

Maybe some finetuning is necessary, e.g. additionally to 'group_by' also

'order_by' => 'e.time_created DESC',

Just try with appending either ASC or DESC to the `group_by` and `order_by ' options values to see how it changes the order.

Im trying to use this example I found :

SELECT max(id) as id, 
   asker
FROM questions 
GROUP by asker 
ORDER by id DESC

Implemented in Elgg like the following:

$content = elgg_list_entities(array(
    'type' => 'object',
    'subtype' => 'file',
    'selects' => array("max(e.time_created) AS createdtime"),
    'order_by' => 'createdtime ASC',
    'group_by' => 'e.owner_guid',
));

But this doesn't seem to work still.  Any ideas?