When you are performing a heavy compound lift (e.g. a bench press or squat) it is important to perform a warm up set at no more than 70% of the weight you will be lifting. Warm up sets stimulate your nervous system (motor unit recruitment) which helps your body prepare for the upcoming lift. When done correctly, warm up sets should allow you to execute the lift better than if you had jumped right into it.
An interesting side note: women usually require more warm up sets than men; however, their nervous systems do not tire as quickly!