What's good etiquette when linking to external websites?
There is no requirement to let them know, either for internet technology or copyright reasons (as long as the link takes the visitor to the other site and doesn't simply include the other site's material within yours, say in a frame set) but as you imply it's rather nice to let them know that the link's there.
One of the newer search engine methods of ranking sites is by checking on how many links there are to that site. The search engines work on the basis that if it's got a lot of other sites linking to it, it must be a good site. Seems fair enough. So, on that basis the linked-to site should be very grateful you're boosting their search engine ranking.
Having, purely out of courtesy, emailed them to let them know about the link (and some flattery about what a mighty fine site they have and that you just wanted so many more people to see it) you might mention, as an afterthought, that they may want to link to your site. And you get your site boosted in the search engine rankings as well.
Looks like win/win to me.
But Don't EVER say I'll link to you if you link to me.
It is nice to warn them especially if your link is likely to bring them huge amounts of traffic.