For those like me doing lots of vertices welding would like this. Of course if you do it frequently, you would map it to a key. Join Average (vert.join true) is good but sometimes you just want to join all selected vertices to the last selected one, the Join (vert.join false) command does just this, but it gives a dialogue which is kinda annoying. To get rid of this message simply use this command (vert.join false false).
The first parameter is it asking you if you want to join average, and the second one is asking you whether to show a dialogue, I think.
To map input go to menu System->Input Editor, turn on “Show Unmapped Key”, and assign your desire command to an available key.