Recs.
Updated
Leaving to an external site is no different to going another page within the same domain. Either I would like it to override where I'm currently located or I'd like it to open separate. The important distinction being, it is my choice instead of that of the one who wants to keep me in their domain.
Since mobile browsers miss a middle button, they need to develop a simple way to open a new tab that is as quick and simple as tapping on the link.
Specs
Pros
Pro What the Website does Isn't Important
A proper browser, or a browser with a proper plugin will provide these basic rules. Forcing all links to open in the same tab has the side effect that proper use of 'open in new window' can no longer be done (when a Window is providing a service and remain open to maintain that service).
On the other had requesting it open all external links in a new window does not.
See Tab Mix Plus for proper plugin.