In Internet Explorer you can open pages in a new window by right-clicking on a link, and choosing 'Open in New Window'. You can get the same functionality by holding down the shift key when you click the link.
I use SHIFT-CLICK all the time, if for example I need to find out about something, I tend to go to www.google.com and run a search. I look down the list of results and shift click on ones that I suspect will be useful. The new window steals the focus, but will take a second or two to load (perhaps longer, depending on the site) so I immediately ALT-TAB back to the google window, and keep opening windows. By the time I've loaded 4 or 5 the first window will have completely loaded. You will notice that using this method most popup windows present less of a problem, because they don't get an oppourtunity to steal the focus and get in your face.
I have a mouse button bound to ALT-TAB, repeated clicking switches between the same two applications at the top of the Z-order, which is awesome for use with this technique, because I don't have to move my left hand to do the ALT-TAB. Unfortunately the latest version of my mouse-drivers (Intelli-Point v5.0) seems to have replaced this behaviour, such that repeated clicking tabs forward through the windows. Since I tend to have at least 20 windows open at a time, this is impractical, so I grudgingly rolled back to a previous version (v4.1). I'm wondering now if perhaps holding SHIFT with the new set up would tab me back, I can't remember if it did this or not - and I'm not going to install the new version to find out - it struck me that many other features had been removed.
If you use Mozilla, you can get equivelant functionality by CTRL-CLICKing..
Came to your blog searching for info on a bug I'm getting with eclipse 3.1.0 (seems to assert itself to the top of the z-order once in a while for reasons unknown) but got sidetracked by this site - since Keanu, Lawrence and Carrie-Ann, green on black monospaced fonts seem to do that to me...
Love the programmer-fashion :p