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...
It's a fixed phrase, and is normally only used in spoken English (i.e. speeches), and with no pause between last and but, so no comma is needed in reported speech.
last but not least
importantly, despite being mentioned after everyone else:
I would like to thank my publisher, my editor, and, last but not least, my husband.