Some people believe that when the temperatures get very high, your windshield may explode or blow out from your vehicle if you don't leave your windows cracked open.
I am going to provide you with absolutely no empirical evidence to either support or refute this claim (!), but I'll tell you what I think.
I think that in the past, windshields were made differently. In high temperatures, those windshields expanded beyond the capabilities of the frame of the windshield, causing them to crack or blow out. I don't believe that leaving the windows open a little either helped or hindered this process much. Tempered glass was the big thing for windshields, so that in the event of an accident or an object hitting the windshield, it would crack but flying glass was minimized. Now, most windshields are made from a laminate, which can expand and contract better within the frame of the vehicle.
Be assured that in the summer in Phoenix, you won't see mine fields of exploding windshields as you walk to your car in the mall parking lot. Chances are that if the windshield has cracked, it was damaged before the heat got to it.
So should you crack open your window? Many people do it, many people don't. I don't believe that vehicles are air-tight even with the windows closed, but some people believe that leaving the windows open a teeny bit relieves some heat pressure, and also helps the car cool down faster as hot air is pushed out when you get in and turn on the a/c. In any case, if you car will be out in triple digit temperatures for a few hours, make sure you park in the right direction so the sun isn't beating down on your front windshield (heating up the interior faster) and use a window shade. They're cheap, and they make a big difference.

