Try very, very hard to avoid using Response.Redirect(url), instead, use Response.Redirect(url, false). Response.Redirect(url), after writing a 302 redirect response to the response buffers, calls Response.End. This is very expensive. The alternative, Response.Redirect(url, false) is fast, but unlike Response.Redirect(url), the lines of code which follow the call to Response.Redirect(url, false) will be executed. More on this later, but first, let me tell you about the horrors of Response.End.
Ok, so what if you don't want the lines of code to execute after you redirect? Well, one way to accomplish this is to call HttpApplication.CompleteRequest(), which is accessible from the HttpContext. e.g., call calling Context.ApplicationInstance.CompleteRequest(). It's not the same as aborting the thread, which truly does prevent all subsequent lines of code form running. The lines of code that follow the call to CompleteRequest() will execute, but as soon as the current page or module that calls this completes, the pipeline will jump ahead to the EndRequest event, thereby short circuiting the pipeline. This is usually all you need.
So to summarize...
void Application_Error(object sender, EventArgs e)
Copied whole article from http://blogs.msdn.com/b/tmarq/archive/2009/06/25/correct-use-of-system-web-httpresponse-redirect.aspx.