Given there is a modal window, and there is a rule, that when the user clicks on element outside of the modal, then the modal is closed, if there is a element with a click handler (let's say link to another page), should the action be taken? Or the first click outside of the model just closes the modal no matter to which element the user clicked and no further actions will be triggered?

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Modal dialogs are a way of 'locking' the screen behind the dialog box so the user cannot interact with it until they interact with the dialog box itself.

See this post for more info on them: What is a Modal Dialog Window?

Allowing the user to still trigger functionality in the background is a form of mode error so should not really be allowed.

mode errors [are] when the user forgets what state the interface is in, performs an action that is appropriate to a different mode, and gets an unexpected and undesired response.

User as now used to being able to 'dismiss' a modal alert / lightbox by clicking away from it* so to start triggering features they weren't expected is breaking their expectations and would likely annoy more people than it would help. It's clear that when clicking away from the dialog box the box itself closes, so the user is then aware of the effect their action has caused. It's a small step then for them to click the link / action button they want. But if you've already triggered that action when the dialog box was up it's far harder to for the user to reverse that action.

Really, if the content behind the dialog box is something you want users to be able to interact with, then don't use a dialog box. Have the content/action presented on-screen for them as part of the page itself.

* this is a bit of an assumption on my part

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