Smashing Magazine answered that question succinctly and correctly (back in July of 2008, I might add): No. They shouldn’t. It’s as simple as that*. You should let your uses decide how to handle their links. When you force users to open a link in a new window against their will, it destroys their web experience for a few reasons:

• It removes control from the user in favor of control of the developer, and users should always be in control of their experience
• It forces the user to use the site in a way you’re dictating, which is usually not the way the user wants to use the site
• It removes use of the back button, an integral part of the web experience, even today with all of our AJAXy goodness
• To novice users, it’s confusing: where did my back button go, what just happened?
• To experienced users, it’s downright enraging: thank you, I know how to open links in a new tab or window, I don’t need your help telling me how to browse the web. In fact, I’m going to close your stupid site right now, just to spite you and your stupid ideas.
  
• It doesn’t do what it’s supposed to (keep users on your site): If a user wants to leave, opening a link in a new window won’t get them to stay. Giving them what they want (good content, good user experience) will, however.
• It destroys the very thin veneer that we’re in control of at least something in our existence, often leading to very severe existential crises in which a person’s entire reality might be shattered, leading to unintended consequences including but not limited to: psychosis, rage, murderous rampages, and losing touch with reality

*Of course, there are caveats. I would say that you should force the link to open in a new window or tab only when opening the link in the current window will interrupt the flow of the user experience. What does that even mean? I don’t know. Nah, but seriously, for example: let’s say a user is using your site to buy a vintage harpsichord, and he’s on the last step of the buying process: checking out. He’s found the perfect harpsichord to put in his basement, he’s entered his shipping and payment information, but he has a question about shipping. So he clicks the link that looks like it can answer his questions, and he’s taken away from his shopping cart. Crap, he’s thinking, now what? Do I have to re enter all my information? Do I have to start the whole process over? This is a perfect opportunity to open the link in a new, small window positioned right next to the link.

Smashing and webcredible provide a good cross section of times when you should open links in a new window:

• The link provides assistance, as in the example above
• The link will interrupt an ongoing process, again, see example above
• The link leads to a non-html document, like a PDF, mp3, or movie file
• The link leads to content that will take a long time to load, like a large image, or javascript heavy web page
• The link leads to a printable version of the current web page, although this can be mitigated by using a print stylesheet

Keep in mind however, that even if you do have a situation where it is appropriate to open a link in a new window, you should always inform the user that the link opens in a new window, either via the title attribute of the anchor element, or by specifying in the link text that the link opens in a new window. Similarly, if you’re in a situation where you’re forced to open links in a new window, like say if you work under someone who is convinced he is a usability expert and also makes the decisions and one of those decisions is deciding that all outgoing links will open in a new window, you should try as hard as you can to inform the users that their usability experience is about to be disrupted.

Remember: it’s not 1999, web usability has grown by leaps and bounds over the past decade, and one of the things we’ve learned is that you should trust the user to be in control of their user experience.