That's also potentially problematic though. I'm not a regular Facebook user, but re-cast in terms of Gmail - if your site logged me out of Gmail every time I logged out of your site, I'd get quite annoyed (and probably quickly stop using your site).
Perhaps if your site can detect at login time whether I was already logged in to the site providing the OAuth service (maybe you could use time-to-authenticate, if there's nothing in the API to tell you?) - and only call OAuth-providor.logout() if you knew your site/login triggered the original OAuth site's login - leaving the Facebook (or Gmail) login session active if it was already there before I used it to log in to your site.
That was how I was planning on doing it at first, indeed! But after giving it some thought that still doesn't make sense. Basically if you sign in using Facebook connect, your accounts are linked, and the third party site should be thought of as an extension of Facebook: If you're signed in in Facebook, then you're signed in to all the apps you've "connected" with. If you go to the site of an app you're connected with, the client-side SDK will alert the app within 2 seconds that you're signed in and connected, and could reasonably redirect you to the signed-in version of their site.
I think it comes down to personal preference, and if you're sharing your PC with people you trust, but a sign-out button is meaningless if "signing in" afterwards is possible without any confirmation. The only reason why you would have a sign-out button that signs you out of the third party site, and not out of Facebook, if is someone else wants to use your PC to sign-in on the third party site, without Facebook. That's such a narrow use-case though that I don't think it's worth it to mess up the user's model of security.
Perhaps if your site can detect at login time whether I was already logged in to the site providing the OAuth service (maybe you could use time-to-authenticate, if there's nothing in the API to tell you?) - and only call OAuth-providor.logout() if you knew your site/login triggered the original OAuth site's login - leaving the Facebook (or Gmail) login session active if it was already there before I used it to log in to your site.