I disagree with this because you should let the user choose what they want to do.
If all external links are to be opened in a new window by default, then the user has no say in the matter. Sometimes I don't want to open external links in a new window. The way it is now, you can open the links however you want, I'm sure whatever user agent being used will have a keyboard or mouse shortcut to do so
I feel this way about any site, not just SE. In 99.99% of cases, the link behavior should not be dictated by the site. Power to the people!
Here's a good discussion on the matter over at UX: Opening website external links in new window — published usability tests
And here is a discussion with arguments in favor of both ways over at MSO: make links posted by users open in a new window