If you hold down Control and click on a link, you'll get a contextual menu like in Windows. Control-clicking has been around since Mac OS 8.0. In Mac OS X, if you plug in a 2-button USB mouse, the right-click button will act in the same manner as in Windows.
The nice thing about Safari (if you enable it in the Preferences for Safari), Firefox, Opera, and most other new browsers is that you can select to open the link in a new tab, leaving you one browser window with neatly organized tabs which don't clutter your desktop with a bunch of browser windows.