I saw that “last but not least” are almost always written without a comma (we could write “last, but not least”). Is it an exception made especially for this sentence or is there some rule allowing us to skip a comma before “but”? Or maybe that’s just a very common mistake?
@Mick is correct, as a fixed phrase it doesn’t need to take punctuation as a comma since you would not pause for understanding, although maybe you might pause rhetorically for effect. If you were to pause, the natural candidates would be: "but" a disjunctive, and "but not least" a dependent phrase.
But, if you were, indeed, to punctuate it, you could do as follows:
Please welcome Stephanie, Mark, and — last, but not least, — Johnny.
But you could omit the dashes or substitute even more commas, but you don’t want to over-comma a sentence… Readability should trump "correctness."
Please welcome Stephanie, Mark, and last, but not least, Johnny.
Please welcome Stephanie, Mark, and, last[,] but not least, Johnny. (most similar to @Mick’s example)
At a minimum, we know that one would not use :
X …and last but, not least…
X …and last but not, least…