For some reason, web content personnel and web designers seem to think target="_new" or target="_blank" is a great idea. For the non-HTML people out there, _new and _blank are two mechanisms that open a link in a new window. Some designers may prefix the link with an image such as this:
From a usability perspective, opening a link in a new window -- whether denoted by an obscure image or not -- is terrible. It breaks the convention of what the action of clicking a link does. Users have become accustomed to using the back button to do exactly what it says: go back. Just like javascript redirects, opening a link in a new window breaks the back button.
Consider this: Many less technical users see the back button as synonymous to "undo". These users are typically afraid of technology and computers. The back button lets them out of the box a little; with the comfort that they can undo whatever they've clicked on. The back button says to the user "yes, it's okay to click that link -- if it's wrong, you can go back".
Keep in mind that most of these users will run their browser maximised -- occupying all the available space on the desktop. Opening a link in a new window essentially "replaces" the current window with the new one. Time and time again, I've observed these users confused by links that open in a new window. They'll browse the page as normal, and then wonder why the "Back" button doesn't work anymore. These users will typically take three to five seconds to realise what's happened.
You might think that you're being smart opening an "external" link in a new window, so that users can "easily" return to your website. If a user is leaving your website, they're leaving it for a purpose. If that user really does want to return, they'll simply go back. Next time you consider using target="_new", consider the usability impacts.