I start with a couple of sets just to make sure my joints feel good and to get the blood pumping. I think it's stupid to just rack up your heaviest weight and burst into work sets. People that do that either get injuries or don't lift as heavy as they think they do. If you're training heavy, you've at least got to pyramid up in weight.
My warm up sets are too low intensity to be considered work sets, but it's far from static stretching and doing yoga for 20 minutes before lifting a weight. You should just do the same exercise you're about to do at a lower weight to make sure everything's in check.