Wood, clay and iron are stored in the warehouse. The great warehouse offers you more space and keeps your goods drier and safer than the normal one.
After building up one great warehouse to level 20, additional great warehouses can be built.
The level dependent attributes (such as construction costs ,generated culture points and capacity) can be found here.
For the full table of construction times click this link for server with 1x speed and this link for server with 3x speed.