This very question was asked at our ALA preconference, and it’s a perennial one for web designers, librarians, and anyone who spends time on the web. Smashing Magazine has a lengthy and interesting answer, pointing out some new technologies that may, in some cases, make this question moot.
For my own self, I think it’s all about context. I usually open links from this blog in new windows, because when I read blogs I appreciate not losing where I am as I click through all the pointers to other comments and perspectives. Google Reader, my preferred blog reading tool, opens links in new windows so I don’t lose my place in the blog queue. That’s a good use of a new window, I think. There are definitely some good arguments against, though. Stepping stone links within a single site? No new windows!
ETA: Amusingly, the link in this post does NOT open in a new window, b/c WordPress was having a tantrum and I’m a little too harried to go in and fix it in the code. Caveat clicker!