need2lose is right. If you run, for instance, you should wam up by walking and then jogging a bit. If you want to stretch then, it should be OK. If you think about it, most exercises just use muscles more, in the same way you usually use them. Stretching pulls them, and doing that to a cold, more rigid muscle is more likely to hurt.

Exercise videos always have you jog in place and never do stretching moves until about ten minutes in. Why? They know better, and they have lawyers who don't want them getting sued.