I have been load testing a set of pages that access some off-site tracking resources that I would like to leave out, since they are generating a great deal of unnecessary latency that doesn't represent my own server load. I see that Enhancement request: 40933 hopes to address a similar issue, but I think a more robust solution rather than filtering by "same server" (which doesn't account for other internal servers that I would want to load test) would be using regex to specify exceptions. That way, one could exclude any arbitrary resource defined by URL, inclusing file extension, hostname, etc..
The code has been added to SVN; will be in nightlies after r516782.
This issue has been migrated to GitHub: https://github.com/apache/jmeter/issues/1823