For instance, say I wanted to link to a table on the Purple Worm website in a rules thread: Strength
If you click on the above link, you're actually moved to the Purple Worm website and leave Unseen Servant. You can always hit the 'back' button to return, but I'm a tab-user and almost never rely on the 'back' button (but am occasionally really glad it's there!). Of course, there's always the option of right-clicking on the link and selecting the preferred option, but that only works if you know the link is external in the first place.
I did a little poking around (see below) and I've seen the Prime Links MOD mentioned a few places as a possibility.
Sources:
