Does Response.Redirect() cause the currently running method to abort? Or does code after Response.Redirect() execute also?
(That is, is it necessary to return/Exit Sub a
This may not be a complete answer, but from what I've seen...
Response.Redirect does, actually cause the code to stop executing by throwing a System.Threading.ThreadAbortException.
You can see this for yourself by setting up global error handling in the Global.Asax and testing a Response.Redirect.
EDIT
and here is a link to the documentation that supports my answer:
Redirect calls End which raises a ThreadAbortException exception upon completion.
HttpResponse.Redirect Method (String, Boolean) (System.Web)