From the moment when Wikipedia introduced its external link icon (), it is matter of time (my estimation is next 12 months) when that effect will become de facto standard. It will happen when NYTimes.com introduce external link icon on its Web pages.
The Web Content Accessibility Guidelines 1.0 state:
“Clearly identify the target of each link. [Priority 2] Link text (The rendered text content of a link) should be meaningful enough to make sense when read out of context — either on its own or as part of a sequence of links. Link text should also be terse.”
Depending on how this checkpoint is read, this could mean that every external link should be identified within the link text itself. For example, you could use “(off-site link)” or “(external link)” within any link text that points to any external resource. (cited from Max Design)
Web text linking and the Web credibility
The best practice on the Web shows that it is recommended to identify the external link on the Web page text, because user has to be clearly informed where he (she) will go after the click on that link (somewhere inside the same site, or somewhere outside).
In addition, Wikipedia example of external link icon shows that the trend of the credible web sources is to use those kind of icons (in my opinion very similar icon will become de facto standard), in order to clearly stated where the site visitor will go after the click on a link.
WP and the external link icons
Many open source CMSs have external link icons plugin, and for the WordPress there are some plugins: