Update 11/04/2018:

I wrote this a long time ago, since then I’ve stopped using jQuery.

I’m not saying that this is a good thing, in fact, it’s probably a bad thing. A user should always have the choice on if a link should open in a new window or not.

However, this is a small bit of javascript that will make all external links open in a new tab/window.

    var links = document.links;
    for (var i = 0, linksLength = links.length; i < linksLength; i++) {
        if (links[i].hostname != window.location.hostname) {
            links[i].target = '_blank';

How it works

Original jQuery solution