Would you guys consider adding a plugin that makes external links hit an extra redirect page?
Giving the user an additional step and more time to decide will sometimes change their mind about visiting the link based on the credibility of the user that posted it. If setup properly with a decent warning message and information about how credible the link poster is it might reduce the number of people that visit the wrong sites and get infected.
Whitelisting the most common external URLs people use like runescape.com / youtube.com / etc would keep link clicking almost as painless as it is today.
A quick search found this plugin but I'm sure there's more of them so you guys would have to look at / evaluate them based on your needs.