Warm up sets just get you ready for the heavy work sets. A few sets with relatively light weights helps get blood pumping into the muscles you will be working, as well as letting you get in your "groove" for that particular exercise.
As far as weight used, I use progressively heavier weights each set, and start around 50% or so. Reps start higher, and decrease with each warmup set.
Wouldn't do a workout without 'em!
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Of course it's heavy, that's why they call it weight.