If you read all of Nielsen on the topic, he actually makes an exception for PDF's and the like: anything where users may believe they've opened another application instead of just another page. In that case they're likely to close the window to get back to you. If you didn't open a new window, they've now closed their way back to your site.
Working with users, I also have found that many prefer and expect links to other sites to open in a new window. This is 100% not my preference, and indeed I almost find it insulting like the author at trilithium.com, but only one of my users is me. With some reluctance I have taken to opening new windows for PDFs, Flash apps, and on some sites any external link.
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If you read all of Nielsen on the topic, he actually makes an exception for PDF's and the like: anything where users may believe they've opened another application instead of just another page. In that case they're likely to close the window to get back to you. If you didn't open a new window, they've now closed their way back to your site.
Working with users, I also have found that many prefer and expect links to other sites to open in a new window. This is 100% not my preference, and indeed I almost find it insulting like the author at trilithium.com, but only one of my users is me. With some reluctance I have taken to opening new windows for PDFs, Flash apps, and on some sites any external link.