Work on all your chakras, they all play a role in consciousness development. When one says people should open their chakras, they simply mean unblock them. Do some research on the chakras, the whole point is personal development. When we open our chakras it is not for super powers or worldly gain, it is to become better people and progress in our spiritual evolution. Thus, BEFORE even trying to open a chakra you should clarify why you want to open it, because the reason why you want to open said chakra might be a reason why it is blocked (meaning you'll be wasting your time lol)! Look at chakras as levels of consciousness, no one should be given more attention or you'll unbalance yourself/personality. This is essentially spiritual alchemy, working on your chakras can be medicine or poison.
As for the third eye, or Ajna Chakra (Cakra), you'll want to balance your masculine and feminine energies as the third eye represents non-duality. Furthermore that is where the Ida and Pingala meet each other. Also since the this chakra is concerned with sight, work on your attachments. In Buddhism, we believe that the world is a product of the mind. That's not saying we believe that we are manifesting physical reality with our minds, but that we are projecting our internal attachments onto external things.
Exercises for opening the third eye? Chant AUM as a mantra, it has three parts: AH, OO, MM. Give each part equal length. AUM or OM, represents many things. In Hinduism, Brahma+Vishnu+Shiva=Brahman. AUM purifies the body and mind, and is specifically associated with the third eye. BUT, don't just chant OM mindlessly! Think about how it applies to the world, do some research. You should be contemplating AUM as you chant. OM is used to start MANY Hindu and Buddhist mantras, because it makes the mantra auspicious and sacred.