Resolvido:
;with cte as
(
select event_type,
value,
[time],
dense_rank() over (partition by event_type order by [time] desc) rn
from [events]
)
select c1.event_type, c1.value - c2.value value
from cte c1
inner join cte c2
on c2.event_type = c1.event_type
and c2.rn = c1.rn + 1
where c2.rn = 2
order by 1