Explanation of "Lose your head" in lazy sequences

In Clojure programming language, why this code passes with flying colors?

(let [r (range 1e9)] [(first r) (last r)])

While this one fails:

(let [r (range 1e9)] [(last r) (first r)])

I know it is about "Losing your head" advice but would you please explain it to me? I'm not able to digest it yet.

UPDATE:
It is really hard to pick the correct answer, two answers are amazingly informative.
Note: Code snippets are from "The Joy of Clojure".