Sure do! This has been an issue in web design since 1999. Usability studies back this up.
Open New Windows for PDF and other Non-Web Documents (Jakob Nielsen, 2005) [0]
The Top 10 Web Design Mistakes of 1999 (Jakob Nielsen, 1999) [1]
Top 10 Mistakes in Web Design (Jakob Neilsen, 2011) [2]
We gain nothing by "keeping the user on our site." The user doesn't care, to them it's all just content they want to look at. If they want to come back to our site they can use the back button, the most popular feature on a browser[3]. If we open new windows we are: littering the user's screen; breaking their chain of navigation; and if they're on a mobile device, consuming extra RAM and causing other windows to disappear prematurely.
Open New Windows for PDF and other Non-Web Documents (Jakob Nielsen, 2005) [0]
The Top 10 Web Design Mistakes of 1999 (Jakob Nielsen, 1999) [1]
Top 10 Mistakes in Web Design (Jakob Neilsen, 2011) [2]
We gain nothing by "keeping the user on our site." The user doesn't care, to them it's all just content they want to look at. If they want to come back to our site they can use the back button, the most popular feature on a browser[3]. If we open new windows we are: littering the user's screen; breaking their chain of navigation; and if they're on a mobile device, consuming extra RAM and causing other windows to disappear prematurely.
[0] http://www.nngroup.com/articles/open-new-windows-for-pdfs/
[1] http://www.nngroup.com/articles/the-top-ten-web-design-mista...
[2] http://www.nngroup.com/articles/top-10-mistakes-web-design/
[3] http://www.useit.com/articles/browser-and-gui-chrome/