It is a major controversy across the web whether to open a new link in a new window (or tab). Some users find it very annoying, but myself as a web master I enjoy it with consideration. If a link leads to a site that does not belong to you, I prefer (as a web master) to open it in a new window (or tab). However, if a link leads to page on the same domain I prefer it open in the same window (or tab).

As a web master, I do not want users leaving my site. As a user, I find it much easier to navigate especially if I don't like what I see from the link I just clicked. No back and forth. Sometimes as a web master, it is hard to make the distinction, but it helps to see the glass half empty sometimes.