Wendy: We use both. I tried to discern a pattern, and for assistance turned to A Dictionary of Contemporary American Usage (sorry, no underline or italics here; it's by Evans & Evans, 1957).
"In Great Britain out is never used as a preposition but must be combined with of before it can have an object, as in he went out of the room, he jumped out of the window. In the United States out requires of when it is used in the sense of away from, as in he went out of the house, he went out of her life, but it is used as a preposition without of when it means through, as in he jumped out the window, he ran out the door."
I think it's safe to assume that almost all of us would say, "Look out the window!" or "I can't talk now. I'm going out the door." This may be yet another instance of older English usage that's survived here (just a guess). You know how British musicologists have gone to Appalachia because they're still singing songs from the English Hit Parade of 1673 there; this may be something like that.
On the other hand, I've heard Brits say "out of window." This makes window sound like a substance rather than an opening. I mean like hel-loooooo, what's up with that, guys?