I avoid making links open in new windows/tabs on purpose. First, you can open links in a new tab yourself like Hex said. Or middle click (push down the mousewheel) if you have that. On Macs without right click I think you can hold the button down or something to get the menu. I think Ctrl+click or Cmd+click also works.
Second, if I set links to open in new windows, then there is no way for others to make a link open in the same window if they wanted. Whereas the way it is, everyone can choose what they like.