Some web idealists will state that you should allow the user to make their own choices when it comes to navigation - I have a lot of sympathy with this view. As web developers, we shouldn't be forcing such decisions on our visitors.
However, I also know that businesses often want to 'retain control' and so insist on spawning a new tab/window for external sites. An I understand this too - It's a very practical approach, particularly when you consider that how many users don't know how to control their own UA.
I often tend to steer a middle course between the two, by adding an image (I'm sure you will have seen many in your time) that indicates which links are external, and a note to indicate that external links will open in a new tab/window.
Not quite as 'pure' as the first option, but at least it is clear to the user how the site will behave.