Tempered car windows can be quite tough. I've seen guys wail on them with steel ASP batons (which is essentially a collapsible steel pipe with a weighted tip) and have it take multiple strikes to shatter.

A small center punch (or actual spring loader glass breaker) works great though. For their weight, size, and price (or really, lack thereof) there is no reason not to have them handy. it's like the automobile equivalent to carrying a whistle outdoors.

Speaking of which, Benchmade's Houdini is an excellent version. You get a spring loaded glass breaker, a seatbelt cutter, whistle, and a flashlight all in one little keyring tool for $20 or less.

http://www.benchmade.com/products/30100