First time jQuery on xkcd
Besides not needing to return the result of window.open, it looks pretty good. See this thread for an explanation of what returning a value from event does. From this answer,


  return false from within a jQuery event handler is effectively the
  same as calling both  e.preventDefault and e.stopPropagation on
  the passed jQuery.Event object.
  
  e.preventDefault() will prevent the default event from occuring,
  e.stopPropagation() will prevent the event from bubbling up and
  return false will do both. Note that this behaviour differs from
  normal (non-jQuery) event handlers, in which, notably, return false does not stop the event from bubbling up.


Clearly, thats not what we want, so instead of returning the result of window.open, we should just omit the return.



This may not be necessary, but I would be more comfortable using

var comicID = location.pathname.split("/")[1];


over

var comicID = document.URL.split("/")[3]);


mainly because http:// may be omitted from the URL and the code will still work (shouldn't ever be a problem either way). It's also more intuitive. I would also leave a comment for the code such as

// where path name looks like /156/ for xkcd.com/156/


Indentation would also help the code be more readable, however it's short so it doesn't matter too much... That said, I would write your code:

// when a user clicks the comic open the explanation
$("#comic").click(function(){
   // where pathname is the comicID eg /156/ for xkcd.com/156
   window.open("http://explainxkcd.com/wiki/index.php/" + location.pathname.split("/")[1]);
});