I'm going to offer a counter-point to most of the answers. Partly playing devil's advocate, perhaps.
Do not distinguish between in-site and out-site links.
Why? People don't care. They are using the internet to find information and will gladly follow the links they feel will get them to where they want to go.
In my experience (admittedly, this is by no means a scientific based thought) the belief that out-bound links should be treated differently stems from clients feeling that their site is more important than their customers feel that it is.
You often hear arguments "we need to launch external links in a pop-up so that users can come back to our site". I find that an arrogant belief that the users want to come back. They may. And if they do, they can certainly use that back button. But odds are they are really just focused on getting the information they are looking for. And if your site leads them to that information in an unobtrusive as possible way, that's a good user experience.