It's generally agreed that a best practice in this regard is to use target="_blank" any time you are linking out to a different website. You should keep your internal links within the same window or tab unless you are linking to a part of your site that's totally unrelated or if you really don't want the user to leave the page they're on.
Additionally, if you are not using target="_blank" make sure all of your pages have clear, easily-understandable navigation, especially when it comes to linking back to your main page.