When I switch to a full screen mode app in OS X Lion, it automatically switches to Desktop 1. I prefer to automatically switch back to the Desktop that I was in before I switched to the full screen app. I tried configuring the app for "All Desktops" and "None" by right clicking on the app in the Dock and choosing "Options". Both resulted in the same problem. Thanks!
You can't set it to go back to the last Desktop you were in, but you can set it to go to a specific Desktop when you exit full screen.
Just move the application in windowed mode to the desktop you want, right-click the app in the Dock and set to "This Desktop". Whenever you come out of full screen, it will always go into windowed mode in that particular desktop.