Good call on that recommendation. From a user's point of view, I can identify with the frusturation.
Another thing to mention too, would be the target of these links. I heard quite a bit information about the decreasing conversion rates for links that open up in new windows (target="_blank") because of the increasing popularity in "popup-blocker" applications.
None of the sites I'm working with ever need to call upon another domain to pull an action though, so theres no concrete info on that either. Just my thoughts. :)