Warning shots might have their place, but bear in mind, that round is going somewhere, and you are responsible for it.
Also bear in mind, that in some jurisdictions, there is no allowance made for a warning shot. You have just used deadly force, in those places, and legally are no better off than if you had shot the person - in which case, use of deadly force had better have been justified, or you are in the hurt locker.
As always, know your local laws.
Edit: As I thought about it, I suddenly remembered the guy a couple weeks back in Atlanta... You may recall the thread and related news reports. Guy caught a probable burglar trying to steal a lawn mower from his home-based repair shop; confronted him with an M1A, but was naked (jumped out of bed, I guess...)
Guy made up a story; homeowner told him to leave. Guy kept on with story, and according to homeowner seemed like he would still try to take lawnmower. Homeowner fires warning shot. Guy does not take it seriously enough. Homeowner ends up firing warning shots 2, 3, and 4, from his balcony, with his M1A.
Police officers are in neighborhood, with a camera crew, shooting some reality police program. They come running when they hear the shots. Homeowner is seen on balcony with rifle. Challenge to drop weapon and first shots by cops are reportedly (on audio recording that I have not heard) right on top of each other. Homeowner loses a kidney, gets arrested, is eventually released without charges, only to find his property stolen and shop burnt down.
Two morals here: 1) Warning shots don't always work, even when fired by a naked dude with an M1A; 2) Police may respond unfavorably to man with gun, when they respond to shots fired; consider how you might mitigate their reaction.