I’ve thought of a few ways that links can fail users. By preventing these sorts of things (which admittedly, aren’t all that easy to prevent) we can design better links with the hopes of attaining that place where users never get lost.
You should only link out of your own site as a last resort. In general you want to keep your visitors at your site. Heck, isn't that why you built it? But there are times when it makes sense to stop the insanity and add that link. You must send visitors away sometimes.