Hello,
You can make it work without custom reports but you will have to do additional customizations.
1. Create additional field in opportunity to store last note text.
2. Create a workflow that will handle creation of note, check that parent entity is opportunity and then update field created on step 1 with note value.
3. Use that field in the report you design with Report Designer.
Of course I understand that this approach has couple of drawbacks like - you will have additionally check situations when note is deleted or note was added to inactive opportunity but it is what it is.
Unfortunately for CRM Online you don't have a lot of options. If you're on-prem then you can build SQL Statement to make it work without any additional customizations.
Dynamics CRM/Business Solutions MVP
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