For links which leave your webpage, I'm fond of this icon: http://fortawesome.github.io/Font-Awesome/3.2.1/icon/external-link/
The shape depicts a box (which could represent either the current window/tab, or the current site) with an arrow leaving its boundaries.
A prime example of this in use is Wikipedia, which uses a similar icon for reference links at the bottom of articles (see this example which I pulled from the Random Article tool).
Per your comment, if the links are configurable, I'm going to guess that often the link will be external, so the icon I discuss above may work well for you.
Another approach to consider is simply using the URL of the
<a> tag as its label. For example, if you're making a user profile page, instead of showing:
Let users enter their website but show it as: