It's always a gamble.  On any given day, which do you think will happen:  a violent robbery when seated in your car or a need to quickly exit your vehicle due to an emergency?  There are plenty of horror stories to support either side, but, like others have implied, situational awareness is always a good thing.

If it's a scuzzy neighborhood with strip clubs, all-nite liquor stores, bail bondsmen and pawn shops aplenty, maybe you really should keep the windows up and doors locked when driving through it  - or better yet, ask yourself why you're cruising around there in the first place.