In Zend Framework controllers, to output something other than html you will want to disable ViewHelper defaults along with some of the other magic ZF typically weaves.
In Magento, the same thing applies when doing a controller redirect.
I noticed on PHP 5.2 a redirect seemed to be ignored whereas my Macports 5.3 setup it worked. Turns out I was missing a trick, and so a proper redirect in Magento is done as follows:
In MyPackage/MyModule/controllers/MyController.php ...
$this->_redirectUrl($this->getUrl('http://www.someurl.com/someresource'));
$this->setFlag('', self::FLAG_NO_DISPATCH, true);
return $this;
Without the setFlag call, your redirect will be ignored. The return call stops any further code execution and sees your redirect get actioned.