Do it! I've lived in 3 warehouses now, and am looking for a new space this summer when my apartment lease runs out. The key to warehouse living is to find an unassuming, out of the way warehouse (so as not to attract attention from the authorities), with a landlord who knows what you're doing and is fine with it, and to establish really good relations with the neighboring businesses who will otherwise be annoyed that some punk kids are throwing parties all the time.

I was just in one a few nights ago over in Oakland that a friend is living in now. We did some exploring and found an old boiler-room, remnant of an old structure that the warehouse was built over. You'd never find something that fun in some yuppy live/work loft. http://twitter.com/mhalligan/status/10614020589 has a photo of their main living space.