Why is "breaking a car" considered a sort of therapy? I've heard this several times. People breaks things to feel more relaxed, less depressed or is there some other reason? What do you call this effect?
I believe you're referring to Catharsis. According to Freud, expressing anger serves to relieve it. However, a few more recent researchers have argued that expressing anger serves to reinforce aggressive behavior.

@Chuck Take a look at this study and this book excerpt.