The paragraph panel allows you to specify the Space After (and Space Before) for each paragraph. Check that.
Do you mean that, or is there more space below the last line of the paragraph? If you mean below, I'd say to check the space-after paragraph attribute. If you really do have space above the last line of a paragraph, you probably have some keystrokes within that last line set with a different leading as a local override. A pure paragraph style wouldn't do that, because there is only one leading amount for a paragraph without using local overrides. The first place I'd check is the paragraph return. If you select just the return (double-click after the final punctuation mark, or place the cursor at the beginning of the next paragraph and hit the left arrow while holding the shift key), you can see if the return character has a different leading than the rest of the paragraph.
Another possibility is baseline shift, that that's far less likely.
Does it look that way in ID as well? Michael has mentioned that this is usually a problem with a differnt leading for something in the last line, and in my experience it's almost always the paragraph break character at the end of the line. That often happens when you think you are selecting the entire paragraph by dragging the mouse, but fail to get the final return, and it's more common when non-printing characters are not showing as you have no way to see that you've missed it.