Script Summary: Remove the redirect page from Facebook's external links. Works for all links, not only for the ones visible when the page is loaded.
So I wrote this script. It removes all onmousedown() handlers from links with target="_blank", once when loading the script and dynamically using the DOMNodeInserted event. Works fine as of February 2012, so far I observed no undesired side-effects.
Note: Apparently, the DOMNodeInserted stuff does not work reliably in Firefox. I have not figured out why and I will likely never try to. I'm using Google Chrome, where everything works fine. If you know how to fix the Firefox part, let me know :)