The Metro series is set some years after nuclear war has ruined the surface of the Earth and put an end to civilization as we know it. In Russia, survivors have retreated to the Metro, re-forging a bleak semi-existence in the tunnels beneath the city. This is the sort of game that mentions, in its opening cinematic, the very real possibility that God is dead.
Last Light assumes that players got the "bad ending" in Metro 2033 and took the option to blast the entire population of "Dark Ones" into oblivion. The subsequent discovery of a single surviving Dark One sets the plot of Last Light in motion.