I would think that it gives the user a personalized feeling, a sense that the site is easy to use and not trying to trick them into anything.....and I bet you if you also have quality content, they will be repeat visitors
I've always thought it was to avoid being inadvertently embroiled in a complaint because of mistaken identity. I know government sites have been very fastidious about using 'exit alerts.' Personally, I find them to be a nuisance, but my own experience as a publisher tells me that the average surfer often doesn't have a clue where one site ends and another begins -though that's changing.
In one site I worked on, a litle version of the site logo was placed next to internal links. If people even notice it, that gives quick visual clues as to what links point to content within the site, and which are external. If someone finds an article on the site they like, they know they are going to another from the same site. External links were not labeled as such.