Squat Warmup and First Set Feeling Difficult

I've had an issue with my squat first set being hard - much harder than the second or even third work set. Some days that first set even feels very grindy. Today I did my heavy squat day (HLM) and the warm up sequence was -

20kg (bar) - 1x10 slow and deep
20kg (bar) - 1x5 quick motion
60kg - 1x5
80kg - 1x3
100kg - 1x1
112.5kg - 1x2 - belt
122.5kg - 1x1 - belt
working set 132.5kg 3x5

There was no real rest between warmups (other than time to change the weights) until after 100kg and then it was just a minute or two. Before the work set I rested about 3-4 minutes. I have tried varying that final rest time both lower and higher (to the point of being equal to the inter-work set rest) with no difference in the difficulty of the first set. I have also done more smaller jumps in the warmup with no effect other than taking longer. The second set went smooth and felt great. Even the third set was easier than the first. Anything I could do to make the warmup better? Should I bring my final warmup closer to my work set weight?

My guess is it's psychological. You're doing too many warm-up sets, if anything, and your last one is heavy and close enough to the work-set that the weight of the work-set shouldn't shock you. You need to get mentally and psychologically ready for that first work set, and that happens before you unrack it. It happens when you start to take your first step towards the squat rack. Watch this snippet from Kirk Karwoski's 2012 keynote speech at the SSCA conference for a great, detailed look at this idea:
http://www.youtube.com/watch?v=E3XzcI75DFE

I'd have you try to warm up as follows.
The empty bar thing you're doing now is fine. Then either:
60x6, 90x4, 112.5x2
OR, if you need a heavier feel before the work-set:
60x5, 85x3, 105x2, 120x1

Rest a short amount starting after the 2nd weighted warmup, and then a little longer before the work-set but not enough to cool off. The 3-4 mins you're doing now is probably fine. But you don't need 7 sets before the first workset at that weight. 5 is probably fine, 6 at most. Get your mind right better and you'll be fine.

Normal. The neuromuscular system has to “get primed” before really being prepared to handle the heavy fahves. Just push through it and be glad all three sets don’t feel like that.

Thanks for the replies. So, the main thing is that this is normal and I just need to try and prepare mentally for it more. On the warmup sequence I'll try modifying it on Monday for the medium day. I'm planning to squat 120kg (~10% less than heavy day). So based on the warmup suggestions that might look like this:

bar - slow/deep (stretch), fast
60x5
75x3 (about 65% of work set) - or maybe just round it up to 80x3?
95x2 (about 80% of work set)
107.5x1 - belt (about a 10% backoff from the work set)

120x5x3 - worksets

Bottom line: Your subjective perception of how the set feels is irrelevant. Somethimes things don't feel good. Do them anyway. 90% of the time, you will find that it doesn't matter how it feels -- you can do it anyway, so you do it. This is the difference between training and fucking around in the gym.

This has been my experience for quite a while any time I'm doing multiple work sets. The second set almost always feels better than the first, even if the first feels ok. My last warmup is usually a single at 90% of my work sets. Sometimes that feels like dogshit too.

Do you video your sets? You might be surprised to find that the first set is still moving pretty well in spite of feeling grindy. Embrace the grind.