It depends on what the link is. I like to keep people on my site if I can.
Sometimes I will create a frames page(I know, I know) that is invisible to the user, and opens the outside site in the frame on my site.
For instance: my cbmall site. I created a subdomain on my server and put up a frames page that puts my cmball affiliate page in the frame.
http://cbmall.cyberosis.net/
if you view source you will only see the index.html page is the frame set page.
hope this answers some of your questions,
feel free to ask more,
luck,
robert