When my first exercise of a training session is a compound movement like bench press, squatts, deadlifts, military press etc., I like to do 5 warmup sets beginning with 1 set of 20 with an empty olympic bar. Each set, I increase 30-50 pounds and drop about 5 reps. The last 2 warmups then are with moderate weight, but with low reps, say 3-5. You don't want to burn out on warmups, but you do want to get the blood circulating to the joints involved and move up to moderately heavy poundages before jumping into the deep end. As a practical example, right now my heavy bench press set is 255 x 8 reps, here's how I typically warm up:
45 lbs (empty bar) x 20 reps
95 lbs x 15 reps
135 lbs x 10 reps
185 lbs x 5 reps
225 lbs x 3 reps
Some people also advocate I doing 1 additional set of your heaviest weight (255 lbs for me) x 1 rep, but after my 5th warmup set, I usually feel loose and feel good to go. I have done that 1 rep warmup in the past at times though.
Some guys might feel a little "wimpy" doing a warmup set with an empty bar, or with 95 lbs. I've been through 2 tendon ruptures now and frankly I don't care what anyone else thinks. Warm up well without burning yourself out is the best advice.