This was implemented for version 0.36 with the link_target attribute:
link_target – Select the target attribute for links to posts (target=_blank, _self, _parent, _top, framename).
Example: [catlink id=3 link_target=_blank] will create:
<a href="http://localhost/wordpress/?p=45" title="Test post" target="_blank">Test post</a>
Stay tuned for version 0.36 to update.