It took forever for me to find a solution to this problem for my site (www.BoomerHomeBizAdvice.com), so I have elected to share the knowledge here in case it can help others.
I use target="_blank" for links I wish to be opened in a new browser tab or window. This worked fine until I activated the WP Google Analytics 1.4.1 plug-in. Then all my external links began to open in the same window.
Not knowing this was the cause of my problem, I researched and tried several recommended solutions, including independent plug-ins designed to open external links in new windows. None solved the problem. I finally came across an obscure reference to Google Analytics interfering with Word Press' ability to open external links in a new window.
Once I deactivated the WP Google Analytics plug-in, everything immediately worked correctly. Just FYI...