One of the things that I do for links that leave my sites is to append the common icon of a small square with an up arrow. I do this by adding a class="hyperlink_external" to the <a tag.
Some possible solutions are:

1. When editing a hyperlink in the editor I would like an option to specify the class of the hyperlink.
2. Have the editor examine the link and set the class based on where the link is going.

I suspect getting #2 right for all cases would be a hard problem, so I would go for #1.