Three variants on the same question:
If I click "new identity" in Tor Browser to get a new circuit, why does my new circuit sometimes have the same exit relay as the last circuit? Doesn't that hurt my anonymity?
Does clicking "new identity" replace only my exit relay, or does it replace the whole circuit?
What is the difference between clicking "new identity" in Vidalia and clicking it in Torbutton? Which should I use?
Nodes in circuits are chosen randomly. (Selection is weighted by a way-too-complex function of capacity, roles, etc, but it's still a random selection.)
Sometimes, two random choices will actually be the same, just like sometimes a coin toss will indeed be heads-up twice in a row.
That means that every once in a while a new circuit will exit from the same node as your last circuit did. It's still a new circuit however, and chances are your exit node doesn't know it's the same client making them. (Unless you leak that by some other means.)
(Obligatory random reference: http://dilbert.com/strips/comic/2001-10-25/)
The ip of the exit relay does not say anything about your identity. The whole circuit is replaced, not (just) the exit relay, so it shouldn't matter if you end up on the same exit node.
As for theTorbutton vs Vidalia new identity, the Torbutton additionally clears out your browser's session cookies, cache, history, etc and closes open tabs. Vidalia just builds a new circuit. So Torbutton is the more secure option when browsing the web.
