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If you feel you really must make links open in new windows, the best thing you can do is give visitors a clear warning before they click on anything. Then at least people have the choice of whether to continue or hit the Back button instead.
OK, 'nuf said on that.
My only pet peeve with sites that have many pop-up links is that a new window is forced every time, instead of opening one window and using that same one.
For example, if you have a page with 20 thumbnails on it, and each is a link to a pop-up page with the full version of the image, it's best to use a link like this:
This way, the first time you click a thumbnail, the browser will open the new window and name it "fullphoto" (or whatever name you gave it). And each subsequent click will load the full version into that same window. So you don't end up with a bunch of windows that you then need to close. It's a much cleaner implementation than using a "_blank" target.