The answer to this question is big ... it's humongoid. It can mean the difference between staying in the hospital a couple days on heparin until the wafarin level is therapeutic versus possibly just starting warfarin and going home.
The short answer, as usual, is that it depends. If the patient has a known thrombophilic state ie protein C deficiency, history of PE/DVT, etc, then it would be prudent to begin heparin therapy before or at the same time as warfarin therapy (heparin bridge) to protect against a possible early hypercoaguable state caused by a warfarin-mediated reduction in the vitamin K-dependent coagulation inhibitors. In the absence of thrombophilic risk factors however, commencing warfarin therapy as an outpatient is a reasonable option.
Source
Ansell, J. MD et al. "The Pharmacology and Management of the Vitamin K Antagonists" Chest 2004.