I am using textlive2014 (and I had the same error in 2013 and before though). Only now I decided to do anything about it.
Whenever I type a formula containing $\o$ I get the warning Command \o is invalid in mathmode. But it displays fine, specifically, it gives the empty set symbol but with a small o instead of O.
What causes this warning? How can it be gotten rid of? Is there now a different command for the empty set with lowercase o instead of \o and the warning means I am using an outdated command? $\O$ never gives me any problems and no problems in the output either way, only a warning in the $\o$ case...

\oand\Oare categorised as European language symbols, not as math symbols. Hence you can't use them in math mode. – Aug 14 '14 at 05:36\oin math mode. You really ought to be using\varnothingor\emptyset. Dedicated math symbols can be endowed with information about any needed extra spacing around them. That's not the case for text-mode "accented" characters. – Mico Aug 14 '14 at 05:45