Definitely switch. Even though doing so is highly counterintuitive, it doubles your probability of winning.
Details are simple: At the start, there are three closed doors, so you have a 1:3 chance of selecting the door with a car behind it. If a door is opened and a goat is found, then the odds for the remaining two doors change because of this new information. The door you chose at the beginning keeps its 1:3 probability, but because there is only one door remaining, that door has a 2:3 in probability of having the car behind it. So switch and double your chances of winning.
The Monty Hall Problem is famous and old (you can find it in probability and combinatorics textbooks from the 80s and earlier), but became an international phenomenon when Marylin Vos Savant published it in her column. Famous mathematicians protested; even Paul Erdos was appalled. But she was proven right. The problem also appeared in an episode of the TV series "Numb3rs", but not in relation to the main plot.