The Safari secret shortcuts list (see
this hint says that you can command-click a hypertext link to open it in a new window in Safari. This is of course smoother than using the contextual menu once you get used to it. You may also hold shift and command-click a link to open a new window in the background.
However, the shortcut list does
not say that this principle works on all instances of links in Safari: bookmarks menu and toolbar bookmarks - sweet!
Note: the command- part of this shortcut opens new windows in the Finder as well. Nice and consistent.