This article reviews several basic statistical tools needed for modeling data with sampling weights that are implemented in Mplus Version 3. These tools are illustrated in simulation studies for several latent variable models including factor analysis with continuous and categorical indicators, latent class analysis, and growth models. The pseudomaximum likelihood estimation method is reviewed and illustrated with stratified cluster sampling. Additionally, the weighted least squares method for estimating structural equation models with categorical and continuous outcomes implemented in Mplus extended to incorporate sampling weights is also illustrated. The performance of several chi-square tests under unequal probability sampling is evaluated. Simulation studies compare the methods used in several statistical packages such as Mplus, HLM, SAS Proc Mixed, MLwiN, and the weighted sample statistics method used in other software packages.