Last time I checked: target="_new" opens in the "_new" window. If no window has been opened with the target "_new" a "_new" window is created. If a window has been opened in "_new", then any further windows opened target="_new" will open in the "_new" window...
Now, getting to the question, it was always my thinking that a sponsor opened in the same window can cause a problem if the sponsor likes to hijack the back button. If a surfer says, "no thanks" they can't sign up with any alternative programs you're promoting, because once they click the red X they've now lost contact with your site... possibly forever.
On the other side, when a sponsor opens in the same window there's a bit more pressure to commit and move forward, whereas a new window makes it real easy to just be click happy.
Another issue: when using other people's systems, I've found that it's far too common for a surfer's pop-up blocker to confuse a target="_blank" for a malicious pop-up to make target="_blank" a safe practice, IMO.
Personally, I prefer to keep my links in the same window.
