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
There is another parameter to Response.Redirect called endResponse. Setting it false is a good idea when you're redirecting in a try catch block because the context still needs control to be correct. So your catch block will pick up the exception.
The caveat to that is that when the page is not Cancelable then it won't try to get control. The most common case of this is Global.asax. So you don't need to worry about this exception in that context. If you don't believe me try reflecting the code for this method and take a look.
So to answer your question it isn't necessary to do much after a Response.Redirect when you set endResponse to true which it is by default (i.e. called with the method that doesn't take a bool).