You've discovered the ordinal numbers! The first transfinite ordinal is called [math]\omega[/math], the lower-case Greek letter omega. It's a number that "comes after" all the finite natural numbers.
In set theory it's exactly the same set as [math]\aleph_0[/math] but considered as an ordinal (representing order) rather than a cardinal (representing quantity).
So the ordinal number line begins:
0, 1, 2, 3, 4, ... [math]\omega[/math], ...
Now the point is, there is no "last" natural number [math]n[/math] that "reaches" or "is right before" [math]\omega[/math]. It doesn't work that way. If you are at [math]\omega[/math] and you take a step backwards, you will land on some finite natural number. But there are still infinitely many other natural numbers to the right of the one you landed on.
You can jump back from [math]\omega[/math] to some finite natural number (which still has infinitely many natural numbers after it), but you can't jump forward a single step to get back to [math]\omega[/math].
That's just how it works.
There's even a technical condition that lets us recognize why [math]\omega[/math] is special.
A successor ordinal is an ordinal that has an immediate predecessor. All the finite natural numbers except 0 are successor ordinals.
A limit ordinal is an ordinal that has no immediate predecessor. [math]\omega[/math] is a limit ordinal. That is, there is no other ordinal whose successor is [math]\omega[/math].
Note also that by this definition, 0 is also a limit ordinal. It's the only finite limit ordinal.