Jakob Nielsen (use-it.com) did a lot of great research on UI and why opening new tabs/windows is a bad idea. Although his research dates from a few years ago, it's still just as valid today as then (even more so, if anything, given the common concept of tabbed browsing now). External links are no different than other links in this regard.

On the off chance one would do this due to thinking that links should open externally to keep people from "leaving your site" is nonsense 1990s-think (and was invalid even then).