It's a classic probability question.
The odds say you should switch. At first you had a 1 in 3 chance of picking the door with the car, but think about it - If you picked the right door on your first pick, he's going to show you one of the other doors, to make you switch. And if you didn't pick the right door, the host isn't going to show you where the car is, now is he? If he does, game's over.
So if you switch doors, you actually then have a 2 in 3 chance of winning the car, as opposed to 1 in 3.
Think of it this way: When you first made your choice of doors, the chance that you picked the door with the car was 1 in 3, or 33%. The chance that you DIDN'T pick the right door was 2 out of 3, or 66%. Even after a goat is revealed, the odds that you didn't pick the right door at first are still the same - 66%. And since the host isn't going to open the door with the car, there's a 2/3 chance that the car is behind the door you can now switch to.
There was an argument about the probability of all this a few years back - it seems at first that since there are two doors left, your chance of winning a car, after a goat is revealed, should be 1 in 2, or 50%. But mathematically, you have to consider all the probable scenarios and outcomes - Marilyn Vos Savant (considered one of the smartest people in the world) wrote a column about this, and it raised some controversy.
A better explanation for this can be found at the link below.
This assumes a number of things - namely that the host KNOWS which door has the car, and that he will only open a door that doesn't have the car...
To expand on the point, look at "Deal or No Deal" - what do they have, like 50 suitcases? Your chance of picking the right case would be 1 in 50, or 2%. There's a 98% chance that you DIDN'T pick the right case. So if you open cases, and get down to 2 cases, 1 you picked and 1 you didn't, you should definitely take the money offered by the banker for your case. There's still just a 2% chance that you picked the million dollar case right off.