Interesting Puzzles- 1

Here's an interesting one I heard long time back:

There are 3 closed doors. Behind one of them you have a car, nothing behind the other two. Now you play the game as follows:

1. You choose a door (say door 1)
2. The game owner opens a door from the other two which is empty (say door 2)
3. You are given a choice of changing your choice (to door 3).

Are you better off changing your choice or not? The answer is pretty non-intuitive :)