If I remember correctly, Response.Redirect() throws an exception to abort the current request (ThreadAbortedException or something like that). So you might be catching that exception.
Edit:
This KB article describes this behavior (also for the Request.End() and Server.Transfer() methods).
For Response.Redirect() there exists an overload:
Response.Redirect(String url, bool endResponse)
If you pass endResponse=false, then the exception is not thrown (but the runtime will continue processing the current request).
If endResponse=true (or if the other overload is used), the exception is thrown and the current request will immediately be terminated.