I used to have a check-box option on this site that lets you choose to have web links open into a new window or not. Frankly, it was redundant and taking up space.
Here's how all the links on this site work: you click a link and your browser navigates to it. It doesn't pop up a new window or leave a frame on-screen flashing a "click here to return to bradchoate.com" banner or anything like that.
It really annoys me when web sites go to extremes to try and keep a visitor tuned in, making external links open up new windows and so forth. I wish they would get over themselves! I prefer to trust the visitor. If they leave and don't come back, that's their decision. If they aren't finished reading my site, they'll navigate back or open a new window for the link on their own. If I popup windows for links, I risk causing both confusion (since some people have enough trouble operating one window, much less two) and frustration (because I know I get frustrated when more windows popup without my say-so). Besides, popping up a new window doesn't guarantee my reader will continue reading my web site-- they can just as easily close the window for it.