I think it totally depends on your use case.
If you are opening a site in another domain and need to keep your site open, and I think in most cases you do, then use target='_blank'.
As a user, I find it annoying when I click on a link to another domain and it moves me from the original domain. Of course, using ctrl+click in most browsers is a way to defend against this - but why make the user do more work?