Many sites open off site links in a new window. The thought behind this is that the site stays open. However the window is covered by the new window and most likely the visitor forgets about it until the new window is closed or moved. Also most modern browsers support opening a page in a new window via a menu option and hot key. So I recommend to leave it up to the user. If you use a script to open a new window notify the visitor that a new window will be opened (see also pop-up windows). Note however that some browsers are able to prevent opening a new window or force in into the same window.
Another important reason not to open a new window is that this breaks the functionality of the back button. If the visitor (accidentally) closes the window that opened the new one the visitor can't go back using this button.