First of all, no, it's not a 'Parting Shot', it is a Parthian Shot. And here is its story:
It all starts with the Romans, which in 55 bce was run by Pompay, Crassus, and Ceasar. The first and latter were heroes of the Republic after their their conquests of Syria and Gaul, respectively, while Crassus is best know for putting down the Spartacus revolt and buying up burning buildings at, well, fire sales, but otherwise had not achieved any significant Triumph (Triumphs were taken very seriously in Rome). Crassus therefore decides to take on the Parthians, an Empire which was to be the mortal enemy of the Roman Republic, to take their gold and finance hos own Triumph.
After having spent about a year trading with some of the cities in current day Southern Turkey, he was offered 6000 cavalrymen from the Armenian ruler Artavazd, and agreed that the Armenians would halt the Parthian counter-advance while Crassus advanced through Mesopotamia. Unfortunately for Crassus, Artavazd was given a visit by the Parthian shah Orodes II with his Very Big Army Indeed and an offer of marriage between the shah's sister and Artavazd's daughter. Artavazd was in what is called in diplomatic terms a 'delicate bargaining position' at this point and essentially sent a diplomatically worded message to Crassus that, again in the language of diplomacy, the underlying realities of the previous deal had been somewhat altered and had thusly led him to reconsider. Crassus was not deterred and he pressed on to Harran/Carrahe, the Biblical birthplace of Abraham. There he finally got to see some Parthians.
Crassus could see around 10000 horse archers across the field, a puny quarter the size of his own army. What he didn't see was the remainder of the force, which Surena had hidden from sight. Surena was not a man know to travel lightly, he usually had 1000 fully armed bodyguards and thousands more less armed ones, 10000 riders, 1000 baggage camels, and 200 harem chariots (actual harem size unknown) - and this was merely his peace time entourage. The Romans charged and was suddenly met by the Parthian double-recurve triple laminate bows, a technology which made the archers more like riflemen than ancient archers, with a range of 300 yards and the power to shoot straight through an oxen at 150. After haranguing the Romans with his arrows, Surena then gave the order for his heavy cavalry to cast off their cloaks and charge. Again the Romans had never encountered anything resembling these forces, which can best be compared to medieval knights, and Crassus' foot soldiers were butchered down.
Thousands of dead Romans now littered the field, but when Surena pulled back his heavy cavalry the Romans felt that finally things were going this way. They stormed after the retreating archers - they surely must have ran out of arrows - but this was the final trap. The Parthian horse archers were as adept at firing backwards as forwards, and had certainly not run out of arrows as Surena had resupplied them by camel. The retreat was a ruse, and it worked, thus the expression 'Parthian Shot' was born.
Crassus was now convinced the Parthians were out of arrows - they weren't. His army was shot to smithereens, and when he ordered a final push, his soldiers showed him how their hands were nailed to their shields and their feet stuck to the ground with arrows, at least according to Plutarch's description. The Roman army was virtually wiped out (only ~500 eventually returned), Crassus was killed, and a 600 year long (!) war was started.
However.. There is another interesting historical tidbit emerging from this event: The Lost Legion.