Fortunately, there are ways around it. Opening a link in a new tab (middle-click) works in most browsers. But what if you don't want to think about it all the time? Shouldn't links in the forums work just like links everywhere else on the freaking internet? Yes, they should. And that's why we have Greasemonkey.
Greasemonkey is a Firefox plug-in that lets users install userscripts that do things to websites. If that sounds vague, it is; userscripts can perform all sorts of tricks. The script we're interested in, called Shelter from a Blizzard, does precisely one thing: makes links on the WoW forums point directly to their destinations, skipping the interceptor page.
If you're running Firefox, and want this magic in your very own browser, here's what you do: