As it turns out, there are a lot of different aspects to this question; your 4-year-old certainly knows how to ask the right thing! In short, there are two main reasons: there are different types of glass and secondly, marbles are spheres.
Scientists are still researching the first of these reasons. The term "glass" actually refers to quite a wide range of materials, not simply the windowpanes we immediately think of (see This About.com article or this article for more information). Different glasses are made from different mixtures of substances, but these mixtures usually include a silicate and an alkali.
And different glasses can be made in slightly different ways — cooled more or less quickly, cooled in layers, spun into fibers, mixed with additional components. These different production methods can have a huge effect on the physical qualities of the finished glass. This is why bulletproof glass is so different from a glass mixing bowl, for instance.
The other reason is shape. Marbles are spheres, and spheres have no edges or flat faces. Things like edges can create failure points — places where the glass is more likely to break. Think of the last time a rock hit your car windshield: a crack was more likely to start from that little chip than from somewhere randomly in the rest of the glass.
Because spheres don't have any edges or faces, they're stronger than something like a windowpane or a drinking glass. Scientists are still researching.
But in the end, marbles aren't indestructible: marbles can, and do, break if you throw them hard enough!
Kelly Chipps (AKA nuclear.kelly)
Department of Physics
Colorado School of Mines
Lissa Smith-Cote from Stone Mountain, GA