Does everyone use Mt. Gox last price for trading or do some use the weighted average or something else?
It depends. What problem you are trying to solve? If you are selling bitcoins, you want the best price. If you are accepting Dwolla, then that person with Dwolla can buy bitcoin at Camp BX and Intersango at a little lower than Mt. Gox's BTC/USD level. So if you set a price based on Mt. Gox's last, you might not be competitive and might lost the opportunity to do the trade.
These exchanges should trade at roughly similar levels because of arbitrage occurring. But because of delays when withdrawing from Mt. Gox, there is a price premium when buying on Mt. Gox's BTC/USD market.
For historical data analysis, having exact values aren't critical and the trends over time will be the same. (e.g., if the price premium when buying at Mt. Gox's BTC/USD is about 2% higher than at other exchanges, then it will likely still be 2% higher a month from now as well.) So there is no burning desire for an accurate "current price" that draws from all the various exchanges.
The current price is of limited use anyway if larger trading volumes are being considered. There isn't a terrifically large amount of buying or selling needed to cause the price to move a couple percent either way. Only what sits in the order books will tell at any point in time what is needed for any trades in the several thousand dollar (or greater) range.