Well, just like you said, loud sounds have been known to break wine glasses. However, I want to assume that in order to break window panes, you'd need a really high-pitched sound, that would have an amplitude exceeding the strength of the glass to resist these vibrations.
I don't think that loud sounds can shatter the window panes. Most window panes nowadays are strong enough to withstand loud sounds. I would like to have an experiment on this though, but I don't have the speaker that is loud enough to shatter a window pane.