Although overheating can happen, the most common cause of the warped rotor is from improper tightening sequence, and or improper torque applied to the lug nuts.
Since the rotor is held onto the hub by the lug nuts and the wheel, I have also personally seen dirt getting in between the rotor and the hub when taking off the tire. What happens is when the wheel is off, the rotor will fall away from the hub a little bit and allow some dirt to fall into the gap between the hub and the rotor. If this happens, when the tire is reinstalled and torqued properly, it will still behave like a warped rotor. This is because of the trapped dirt offsetting the rotor on one side and causing a wobble in the rotors rotation.
Either way, a warpage also prevents effective braking because the action of the warped rotor keeps the pads further away from the biting point of the brake pad. It will make the first application of the brakes seem a bit mushy, and a second tap of the brakes during the same stop will be MUCH firmer.
In addition a warped rotor also will stress the suspension a bit more from the bad vibrations.