To select the previous checked sibling checkbox, use this:

$(this).prevAll(:checked:first)

I expected to use :last, but :first is what works. This is counter-intuitive to me and inconsistent with how :first and :last usually work, but I tested it in several browsers and the result is consistent.

$(':checkbox').change(function() {

    if (this.checked) {

        var lastChecked = $(this).prevAll(:checked:first);

        if (this.value == lastChecked.val()) {

            alert(previous checked box has same value);

        }

    }

});

Demo: http://jsfiddle.net/LgxPn/15/

Edit: If by previously checked checkbox you mean the last box the user clicked, then you'll need to keep track of that yourself. There's no built-in jQuery method that will tell you anything about click history.

What happens when the user first checks several boxes, and then checks and immediately unchecks a box? Should the next most recently checked box be used? If so, then you need to keep track of all checked boxes, and what order they were clicked. Here's how you can keep track of the checked boxes:

var lastChecked = [];

$(':checkbox').change(function() {

    if (this.checked) {

        if (lastChecked.length && this.value == lastChecked[0].value) {

            alert(the last box you checked has the same value);

        }

        lastChecked.unshift(this);

    }

    else {

        lastChecked.splice(lastChecked.indexOf(this), 1);

    }

});​

Demo: http://jsfiddle.net/LgxPn/21/