There is an bookmarklet called "Open in New Tab" that will open any link you press in a new tab. I got it via the installer (I'm jailbroken) in a pack of other useful bookmarklets. Technically, it will work fine on a non-JB phone, however they are tricky to install without the aid of a jailbreak. If you really want it though, I can try to figure out a way to make it work for ya...
For the iPhone, and if your iPhone is jailbroken, you can use the installer app to download Bookmarklets from the BigBoss source.
That will give you several more Safari bookmarks, one of which is Open In New Tab. When you find a link you want to open in a new tab, just open your bookmarks and select Open In New Tab. You'll be sent back to the original web page. Just select the new link and it will open in a new tab. It works great for me.
EDIT: You beat me to the punch, psylichon, but I'll leave my post as it stands as it provides information about the BigBoss source and its address.