Russ Weakley shows an example of some clever CSS hacking so that you can always indicate that a hyperlink is "external" (eg. it is leaving the current site).
Firefox is able to use special hints embedded in web pages to pre-load other web pages that the user is most likely to click on next. Because the next page has already been prefetched it displays almost instantly.
In my spare time, I'm the webmaster for the Australian Carnivorous Plant Society. I'm currently working on a complete overhaul of their website, including moving to a new hosting provider. As well as making use of ASP.NET 2.0 for the new site, I've also made use of the sample Design Templates that make good use of Master Pages, XHTML and CSS.