There is really no absolute answer to this small usability question, and it depends on the various situation. Some of users like to have the links opened in a new window/tab but some don't, and some don't bother because they always either middle click or right click to open in new tab/window whenever they want the link to open in a new window/tab. But the web designer essentially needs to decide what the behavior would be in the first place. And different designer has the different favor too. In my personal point of view, here is my guild line:
1. Internal links go to the same page;
2. Internal help info links open in a new window or pop up the modal in the same page with close button in it.
3. External links go to the new window or tab;
I also subscribe the snapshots add-on on my blog for external links so it adds another layer for users to take a quick look before actually clicking through.
However, there are quite a lot debate in David Direy's recent same post, in which a lot of people commented that all link should open in the same window, no matter whether the link is internal or external. They claimed that this is something that should leave for the reader to decide. It makes some sense but why? Why would people like the idea to give their readers chances to leave their site for something else? This quote from one of the commenter might be one of the reasons.
However, for not so tech-savvy people’s sake, it’s best not to open links in a new window. They really get lost with the disabled Back button. I was opening links in a new window for one of my client’s sites, until I started getting calls from her, asking how can she get back to the previous page.
It's true. Small usability issues like this does bother a lot to non-tech-savvy people, and we need to put more weight on them when determining which behavior we should be taking.
By the way, a quick guide of When to Open Web-Based Applications in a New Window is a pretty good reference to check.
<update date="Feb 8, 2008">
It appears that having links to popup via Javascript isn't a smart idea either because 1) it might be blocked by popup blocker; 2) it's not so search friendly; 3) it breaks the common rule to open the link, i.e. no middle-button, and open in new tab disappeared from right-click context. There will be no JavaScript type popup on my site anymore.
</update>