Why Response.Redirect causes System.Threading.ThreadAbortException?

The correct pattern is to call the Redirect overload with endResponse=false and make a call to tell the IIS pipeline that it should advance directly to the EndRequest stage once you return control:

Response.Redirect(url, false);
Context.ApplicationInstance.CompleteRequest();

This blog post from Thomas Marquardt provides additional details, including how to handle the special case of redirecting inside an Application_Error handler.