Yes it's better to change. I'm going to call G1 the first goat, G2 the second, and P stands for prize, or whatever is in the last one, which you want to get. Basically, it's like this:
You don't change:
1) You chose G1 and lose.
2) You chose G2 and lose.
3) You chose P and get the prize.
So your chance is 1/3 if you don't change after one door has been opened.
You change:
1) You chose G1 and change. You win.
2) You chose G2 and change. You win.
3) You chose the car and change, you lose.
So your chance is 2/3 if you change after one door has been opened.
In conclusion the chance to win the prize increases by changing.