The Urban Heat Island is a term used to describe how large downtown areas full of concrete, buildings and asphalt retain heat and alter the weather on a very small scale in large urban areas.
Every house, building and road changes the microclimate around it. Concrete gets much hotter than grassy areas, and it's cools off much slower. On a typical summer day a downtown area can get as much as 20 degrees warmer than an outlying suburb. This increase in heat requires an increase in the amount of energy used for cooling purposes.
Increased heat also enhances photochemical reactions, which increases the particles in the air and thus contributes to the formation of smog and clouds.
Ed explains more in this edition of Weather 101.