We can make some estimates for what would happen. The specific enthalpy (basically energy per kilogram) of air, modeled as a diatomic ideal gas, would be 7/2RsT, where Rs is the specific gas constant of air and T is the temperature. The specific gas constant of air is 287.05 J/(kg K), so at 293.15 Kelvin (20 C, ~70 F) the air would have 294kJ per kilogram. An average human displaces about 0.06522 cubic meters (65.22 Liters, 17.2 gallons), and air at standard conditions has a density of 1.20 kg/m^3, meaning you displace about 0.078 kg. This means an average person teleporting would create an energy difference of about 23kJ between the vacuum they leave behind and the surrounding air. That's as much energy as a 1kg mass moving at 214 m/s (478 mph, 770 kph) or about Mach 0.62 at sea level, or a 1000 kg mass moving at 6.78 m/s (15 mph, 24.4 kph). So imagine getting crushed against a wall by Grandma driving a small sedan at a human running speed, except the wall doesn't take any of it. That is also a bit more energy than a .50 BMG bullet, which apparently is used to shoot down helicopters.

If you teleport really close to your starting position, we can assume the total energy would be doubled. Also consider that this analysis is conservative. The faster the teleportation happens the more energy you're going to release. This only accounted for the energy of the air itself, not the kinetic energy of all the air that would rush in to fill the vacuum, or the energy you add to the air when you pop back in, which could be significantly more if you pop back in really fast. So it could be quite a bit of energy. I always imagined that a superhero or villain that could teleport would need some kind of force field just to survive the process, and that they could develop their ability to teleport faster to use it as a weapon, or teleport slower for stealth and not destroying their destination. Looking back at Jumper the amount of damage they do when they teleport is pretty minor, considering the math. The energy released would only grow if you could take stuff with you.