According to Nielsen, the only thing the average user can be counted on knowing is that the back arrow cycles back a page. That's it. Therefore, when linking to another site don't open up a new window.
In general I agree with this rule of thumb. However, I disagree completely when it comes to external links via a blog. First and foremost blog readers are already a self-selected user group. It's true that there are always new users to blogs, who are unaware of the rules of blogging etiquette, but I think that few habitual blog readers are newbie computer/internet users. Now the above phrase is a HORRIBLE one for a IA person to throw out without some corroborating data. I must say I haven't any data so, if anyone can point me to it, I would be very happy.
My hypothesis, still to be backed up by empirical data, is that the user experience is superiour when links to external site opened in a new window. The reasoning is that it allows the user to experience, and to explore the new site without losing contact of the original source material. If the external source is not interesting it is simple to close out the window. If the new site is interesting one can easily click through 10, 20 or more times and would now have a more difficult task returning to the original page than simply closing out the new window.