The Tour de France is starting in London this weekend. The Guardian has produced a booklet giving all sorts of information about it, including a short glossary of cycling terms. Amongst others, I learnt that the expression Être la lanterne rouge (to be the red lantern), which means to come last or to lose, is "derived from the red lantern found at the end of French trains" or of a convoy.
Le glossaire du vélo (in French): A-E and F-Z
Wikipedia’s cycling terminology
French-English dictionary of cycling (English-French)