I always avoid going with the former because I live in fear of my turn 4 play/purchase missing the reshuffle, (i.e., play warehouse turn 3, hag is in bottom 4). I'm a negative thinker. I do see the advantage later for having Warehouse because there will be so many bad cards to pitch once everyone is slogging; you'll tend to have a full compliment of cards that produce less than $1 to pitch. But first turn Warehouse, I dunno. I'm dubious, but I admit I could be wrong.
Other people go for it, because they are hoping to live the dream, i.e. turn 3 warehouse into hag, with all of their turn 4 cards, perhaps with a curse included, missing the re-shuffle. They are optimists.
Which of us is right?
Does it depend on how important having some economy is? The particular board for the game I just played had a number of other cantrips besides warehouse that would similarly be good for cycling around to hag quickly, e.g. Haven, Caravan, Stables. (I ended up getting lucky and hitting $4, $5, and $2 my next three turns, and winning both the Curse and Caravan splits. The rest of the board was mostly inconsequential: Fortune Teller, Haggler, Tactician; or plain terrible: Fool's Gold, Treasure Map.)
Does it depends on whether you are going first or second? In other words, if you are second, it behooves you to try to ride the high-variance pony?