There's been two schools of thought. Warm up before an exercise, or just jump straight into it. But as it turns out, warming up is actually very important. A new study is suggesting that warming up may actually increase the maximum power a muscle can provide during an exercise as opposed to just shortening the time required to reach its maximum output.

The study, carried out at La Trobe's School of Physiotherapy, perform tests on the effects of warm up exercises on 22 elite athletes. They found that some warm up exercises actually increase the maximum explosive power a muscle can provide during a work out. Justin Crow, one of the researchers says:
"A warm-up protocol involving low load exercises targeting the gluteal muscles is effective at acutely enhancing explosive power output in the lower limbs. Coaches may consider this protocol when preparing athletes for competition or training in sports involving explosive lower limb movements such as jumping, sprinting, and some weightlifting movements."
Crow suggests that some simple none weight bearing warm ups can help any athlete's performance. However, its not been established as to why such warm ups would actually increase maximum strength. At any rate, its best you get stretching before one.

[Journal of Strength and Conditioning Research via Medical Express]