I am sure at some point in your development you have worked with a client that is required to notify users they are clicking a link and leaving their site.  Yesterday I needed to provide this functionality and quickly searched for a jQuery solution.  I came across a plugin named LeaveNotice that does the job quite nicely.  After moving over the required CSS and JavaScript files, all you need to do is add a rel attribute to your HREF tag and that activates the notice.  One thing I really liked about this method is it does not force the user to click through from the notice to continue to the external link.  It displays the message and if the user does not click to continue after a set number of seconds, it automatically takes you to the external link.  If you have the need for something like this, I would recommned giving this a try.

Check out LeaveNotice.