It increases usability to indicator that an external link is going to open a new window. Here is a code snippet that shows how I added a few lines of jQuery to append a "new window" icon to each <li> in my news aggregator block:
<?php
<script type="text/javascript">
var themePath = '< ?php print base_path() . path_to_theme(); ? >';
$(document).ready(function(){
img = "<img src='" + themePath + "/images/new-window-icon.jpg' />";
$('div.block.block-aggregator div.content div.item-list ul li').each(function(i){
$(this).html( $(this).html() + img );
});
});
</script>
?>