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I think the main issue with opening links in a new window is that it effectively "breaks" the back button which can be confusing, particularly for visually impaired users. I have also seen this with older users and those who are new to the internet, who don't realise they have to close the window to get back to where they were.
Most of the time, I much prefer links to open in the same window. If I'm enjoying the site I'm on, I'm not going to instantly forget about it. Frequently I just open new links in a new tab anyway, like vangogh said. It's annoying to end up with several different windows open.
There are some contexts when I think it works however. In this forum, for example, if I click on a link to someone's website, I probably only want a quick look at it, so I appreciate it opening in a new window. I think opening pages in a new window works when you're only going to want to look at it for a few seconds.
In general, I think you should give control to the web user.
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