We consider message-efficient continuous random sampling from a distributed stream, where the probability of inclusion of an item in the sample is proportional to a weight associated with the item. The unweighted version, where all weights are equal, is well studied, and admits tight upper and lower bounds on message complexity. For weighted sampling with replacement, there is a simple reduction to unweighted sampling with replacement. However, in many applications the stream may have only a few heavy items which may dominate a random sample when chosen with replacement. Weighted sampling without replacement (weighted SWOR) eludes this issue, since such heavy items can be sampled at most once. In this work, we present the first message-optimal algorithm for weighted SWOR from a distributed stream. Our algorithm also has optimal space and time complexity. As an application of our algorithm for weighted SWOR, we derive the first distributed streaming algorithms for tracking heavy hitters with residual error. Here the goal is to identify stream items that contribute significantly to the residual stream, once the heaviest items are removed. Residual heavy hitters generalize the notion of ell_1 heavy hitters and are important in streams that have a skewed distribution of weights. In addition to the upper bound, we also provide a lower bound on the message complexity that is nearly tight up to a log(1/eps) factor. Finally, we use our weighted sampling algorithm to improve the message complexity of distributed L_1 tracking, also known as count tracking, which is a widely studied problem in distributed streaming. We also derive a tight message lower bound, which closes the message complexity of this fundamental problem.