I'm using Lexan, 3mm thick and it's fine. Of course, if you park on the main road, I wouldn't advise on it personally due to security (ie, a strong/heavy person could easily stomp through the window and expose access to the car) but as you say, if it's for race, then go nuts.
No body is going to stomp through 3mm lexan. Not even a hammer would go though. You may be able to make a hole with a pick axe though, but just a hole but would probably stop BB pellets and low velocity air gun pellets.
Plexi scratches and cracks easier than lexan. If you're installing it with mechanical fasterners (bolt,pop rivet) then has to be lexan. Plexi will crack while installing it. Don't use any ammonia based cleaners to clean with.