You should always pay attention when any weather advisory or warning is issued because some require that you take action immediately.
In the case of high wind warnings and wind advisories, in some cases you should definitely be prepared to protect your property, change travel plans, or use extra caution.
A wind advisory is used for "less" severe wind conditions but winds that could still pose a hazard. Sustained winds of 30 to 39 MPH for at least one hour or gusts 40-57 MPH are expected. The criteria for a wind advisory varies from state to state.
A high wind warning is the highest level of threat for strong winds. A high wind warning is issued when wind may pose a hazard to property or is life threatening.
The criteria varies by state but for the central Arizona deserts a wind warning is issued by National Weather Service when non-storm related winds greater than 40 MPH last one hour or longer. Or, when winds greater than 58 MPH occur for any period of time. A warning is issued when windy conditions are either already happening or are imminent.
A "sustained" wind speed is determined by averaging observed wind speeds over a two-minute period.