"Opening these links in another tab or window is kind of annoying, plus it can be tough to keep the context of the email in mind while viewing the document," mentions the Gmail Blog. Previews are displayed at the bottom of the message, so I don't think you can maintain the context.
Gmail has 5 other experimental features that let you preview YouTube videos, Picasa Web and Flickr photos, Yelp reviews and voicemails from Google Voice, but I think these previews would be more useful if they were displayed inline, like Yahoo Mail's shortcuts or Interclue's tooltips.