Return filtered collection of external links

jquery.externallinks.js

/**
 * EXAMPLE:
 * Find external links and add class to them
 * Except for exclusions
 * $('a[href^="http"]').externallinks({
 *     excludeOrigin: true, // also exclude the host site
 *     exclusions: ['urltoexclude.com']
 * }).addClass('external-link');
 */
(function($){
    var defaults = {
        exclusions: [],
        excludeOrigin: true
    };

    $.fn.externallinks = function(options)
    {
        options = $.extend({},defaults,options||{});

        if(options.excludeOrigin) {
            var loc = document.location;
            // same as loc.origin but some browsers
            // dont seeem to have that property
            options.exclusions.push(loc.protocol + '//' + loc.hostname);
        }


        return $(this).not(function(){
            var truth = false,
                src = $(this).tagName().toLowerCase() === 'srcipt' ? 'src' : 'href';

            for(var i=0,c=options.exclusions.length; i<c; i++) {
                if(truth) break;
                truth = this[src].indexOf(options.exclusions[i]) >= 0;
            }

            return !!truth;
        });
    }
}(jQuery));

Only looks on href or src (if script tag)

EXAMPLE:

var external_links = $('a').externallinks();

For styling purposes obviously these days it's better to style via attribute selectors.
This can be useful for other js requirements.