Outgoing Links
Problem
Users need to know when links will take them away from the current site.
Solution
Mark links to external sites with an icon after the label

From
Wikipedia
Use when
Most websites use a combination of internal links and external links. However, when the majority of the links are internal, the external links become the exception, for example in a
News Site. In contrast, in a
Portal Site or
Blog Page the balance is usually towards external links. So when links to external pages on other sites are not the norm, it is good to tell people that the link they are about to click will take them away from the site they are browsing.
How
Mark the links by adding an icon after the link label. When outgoing links are selected a new window is opened. Usually the icon is a combination of an outwards pointing arrow and a shape, for example:


Sometimes the meaning of the icons is explained in the
Footer Bar.
Why
By adding an icon, or other kind of marking, users know that such links are different and what to expect when they click on them. Marking the link will not solve any major usability issues with your site but it will subtly manage expectations of users as they browse the site.
More Examples
This example is from
CNN.com:

This example is from
CNet News.com:

Other sites include Gmail, Randombit and many others.
Literature
External links and the Web Content Accessibility Guidelines 1.0
Are icons meantioned in a text too small to recognize their meaning. It's not an affordance.
How many users know what does these icons mean.
Correct If I am wrong
A site should not open links in new tabs ever. It is annoying, and it gets really confusing when you have to follow several links in order to get somewhere, and you end up with a lot of open pages that you don't need anymore.
Having outgoing links subtly marked helps the user to control the navigation the way she prefers.
Arrow: Outbound link, no new window opening
Rectangle: Inbound link, new window or popup opening
Rectangle and Arrow: Outbound link, new window opening
Forcing a new window/tab presumes -- almost arrogantly -- that the user could not possibly want to leave your site, and that by keeping your site in a window that the user will somehow feel obligated to stick around. It also shows a lack of confidence, as if to say that you don't believe a user would ever want or be able to return to your site should they choose to later on, so you'd best try to "keep them there" at all costs.
That said, launching external links in new windows can be a gray area when dealing with web applications where the user has logged in. Launching an external link within the same window would cause the user to be logged out, potentially interrupting a task in progress. Obviously, external links should most definitely be clearly labeled in these cases, and ideally kept to a minimum.
Providing multiple icon types just puts more cognitive burden on the user. Including the external link icon is pushing it - not all users will notice or comprehend it. But adding many icons becomes tricky. Which icons instantly convey the function of the link? One could argue that the icons could be interchangeable -- switch the icons around and they are just as meaningless. We shouldn't need to include a legend for users to understand something as simple as navigating via text links.