After playing through the Privateer's Hold a few times, I realised that there's a fairly quick way out. You can even outrun some enemies, but others get in the way and need to be killed. Anyhoo, the video:

http://www.youtube.com/watch?v=ejKM7v2DCfs

Basic walkthrough:
1. When you get to the room with the large table, take the door to the left. This leads you to the large area with big steps.
2. Go up the steps to the platform with the throne. Jump on the platform and try to avoid the skeleton.
3. To the left of the throne, there's a switch. Activate it, and the platform will ride up.
4. From there, keep going along the corridor to your right, and the first door on your right is the room with the black portal to the outside.

But this way you miss out on some loot and XP, so it's up to you.