System:
Processing 1.0.7
OSX 10.5.8
Mac Pro 2x2.8GHz
Safari 4.0.3 (5531.9)
Java SE 6 64-bit

Using link() to call out to a website works in the stand-alone application, and when used from
the PDE, but does nothing when run as an applet.

void setup() {
size(1024, 576);
}

void draw() {
background(255);
rect(300, 300, 200, 200);
}

void mousePressed() {
link("http://www.processing.org/");
}

This bug is not seen on the following system:
Processing 1.0.3
OSX 10.6.1
MacBook Pro 2GHz Core Duo
Safari 4.0.3 (6531.9)
Java SE 6 32-bit

Chasing this down further, it appears to be an issue either with the browser or the Java version.
Viewing the Mac Pro applet from the MacBook Pro works (links out). Viewing the MacBook Pro
applet from the Mac Pro does not work (does not link out).

Changing the Java version used for the applet in Safari 4.0.3 (5531.9) makes the applet
work, but only if the argument "_new" is not passed to link().

This fails:

void mousePressed() {
link("http://www.processing.org/", "_new");
}

This works:

void mousePressed() {
link("http://www.processing.org/");
}

The Java console reads:

liveconnect: JSObject::call: name=open

(no further text)

In summary:

On Mac Pro, as above:
Java SE 6 64-bit fails.
J2SE 5.0 64-bit works if "_new" is not passed.
J2SE 5.0 32-bit works if "_new" is not passed.

On MacBook Pro, as above:
Java SE 6 32-bit works.

This is an Apple bug, unfortunately. Please file it at
bugreporter.apple.com. The code behind link() is just a single line of Java:

link() with just a URL:
getAppletContext().showDocument(new URL(url));

link() with URL and a frame:
getAppletContext().showDocument(new URL(url), frameTitle);

That is apparently behaving differently between browsers.

Thanks for looking into it so promptly - I'll report it to Apple.