I used to think the same thing, until I heard that opening links to external sites more than likely just annoys users, or so says Jacob Nielson, a web usability guru:

from: http://www.useit.com/alertbox/990530.html

Opening up new browser windows is like a vacuum cleaner sales person who starts a visit by emptying an ash tray on the customer's carpet. Don't pollute my screen with any more windows, thanks (particularly since current operating systems have miserable window management). If I want a new window, I will open it myself!

Designers open new browser windows on the theory that it keeps users on their site. But even disregarding the user-hostile message implied in taking over the user's machine, the strategy is self-defeating since it disables the Back button which is the normal way users return to previous sites. Users often don't notice that a new window has opened, especially if they are using a small monitor where the windows are maximized to fill up the screen. So a user who tries to return to the origin will be confused by a grayed out Back button.