Don't use them myself, but I do use a Javascript warning alert that doesn't show the page at all if they opt out.

IMHO, warning pages are pointless if you have people deep linking into your site that never see the warning page (e.g. organic traffic). On my site less than 15% start at the home page of the site. So a warning page would be less than 15% effective. Compare that to 95%+ effectiveness using a Javascript alert.