Electricity will always take the path of least resistance and jump around. That is what a short is. People get electrocuted by standing in a puddle of water that is energized by electricity. If the voltage potential is high enough electricity will arc through the air and electrocute you.
Not exactly. Electricity takes all paths (when there is more than one) between two points with a voltage difference; the current through each path varies inversely to that path's resistance. It is correct to say that the greatest current follows the path of least resistance.
Unless you're talking about many kilovolts, air will not conduct well enough to contribute to a shock or electrocution. The reason the earth contributes to shock is because we intentionally connect one conductor of our power system (the "neutral") to earth, like a vehicle's chassis.
A short circuit results when the resistance is so low that the current exceeds the circuit's capacity, and exposes the circuit's weakest link, which is hopefully a properly-sized fuse or circuit breaker. If not, then part of the wiring is damaged, melting insulation and causing shorts.