Although experts bicker back and forth about the value of warm up (as they do with nearly every training variable), my advice is to avoid lifting weights cold. This seems more like common sense than anything (like something your mother would tell you!) Think of warm up this way: If you drop a rubber band in a glass of ice cold water, then pull it out and stretch it, it will snap in two very easily. If you put a rubber band in a glass of warm water it will become more elastic and stretch much further without snapping. Your joints and soft tissues are very much like the rubber band; they are more elastic and less likely to be injured when they're warm.
There are two components to your warm up: General warm up consists of 5-10 minutes on a piece of cardio equipment. You know you're warm when you just begin to break a sweat. Next is the specific warm up. Do one or two light, non-fatiguing warm up sets at the beginning of each muscle group.
You don't need warm up sets for every exercise, just for every body part. The exception of course, is for heavy basic, compound exercises like squats. A pyramid structure is desirable for heavy exercises like squats because you wouldn't want to jump to your heaviest set first. The pyramid allows you to warm up before going heavy, and is also a good bodybuilding program because it works all repetition ranges starting with 1215 reps and finishing with as few as 4-6 reps.
One last point: stretching is not the same thing as warm up. Stretching does not warm you up. In fact, stretching is better after you're warm, when your muscles are more elastic. That's why its better to stretch at the end of your workout or between exercises than it is in the beginning when you're cold.
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