I try not to train to failure anymore, but that's because I'm a powerlifter and not a bodybuilder.
I think I remember reading an article by Hatfield where he said that it's very bad (for powerlifters) to go to failure, because then you're training your body to fail. Interesting.
For the purposes of my response, I'll assume by "train," you mean lifting I undertake with the expressed intention of making myself bigger and stronger.
Though I'm lifting sub-failure and with lighter poundages at the moment, I don't consider that training. Just a semantic quirk of mine, you could say.
So yes, I DO train every set of every exercise to failure. As a rule I only do one work set and usually one exercise/bodypart, though...that's different than doing 16 sets for biceps all to failure, eh?