Anyone who's spent a winter in Wyoming or a summer in Texas understands why it's desirable to leave the car running. In Wyoming with sub-zero temps and howling winds, I turn the heater on full blast, get out, fill the car and jump back in before my tears and post-nasal drip begin to freeze.
In Texas, it's nice to jump back into a cool car, especially if you're trussed up in work duds.