Is Response.End() considered harmful?

TL;DR

Initially I had recommended that you should simply replace all of your calls to
[Response.End] with […] CompleteRequest() calls, but if you want to avoid
postback processing and html rendering you’ll need to add […] overrides as
well.

Jon Reid, “Final Analysis”

Per MSDN, Jon Reid, and Alain Renon:

ASP.NET Performance – Exception Management – Write Code That Avoids Exceptions

The Server.Transfer, Response.Redirect, Response.End methods all raise
exceptions. Each of these methods internally call Response.End. The call to
Response.End, in turn, causes a ThreadAbortException exception.

ThreadAbortException Solution

HttpApplication.CompleteRequest() sets a variable that causes the thread to
skip past most of the events in the HttpApplication event pipeline [–] not the
Page event chain but the Application event chain.

…

create a class level variable that flags if the Page should terminate and then
check the variable prior to processing your events or rendering your page. […]
I would recommend just overriding the RaisePostBackEvent and Render methods

Response.End and Response.Close are not used in normal request processing when
performance is important. Response.End is a convenient, heavy-handed means of
terminating request processing with an associated performance penalty.
Response.Close is for immediate termination of the HTTP response at the IIS/socket
level and causes issues with things like KeepAlive.

The recommended method of ending an ASP.NET request is
HttpApplication.CompleteRequest. Keep in mind that ASP.NET rendering will have
to be skipped manually since HttpApplication.CompleteRequest skips the rest of
the IIS/ASP.NET application pipeline, not the ASP.NET Page pipeline (which is
one stage in the app pipeline).

Code

Reference

HttpApplication.CompleteRequest

Causes ASP.NET to bypass all events and filtering in the HTTP pipeline chain of
execution and directly execute the EndRequest event.

Response.End

This method is provided only for compatibility with ASP—that is, for
compatibility with COM-based Web-programming technology that preceded
ASP.NET.preceded ASP.NET. [Emphasis added]

Response.Close

This method terminates the connection to the client in an abrupt manner and is
not intended for normal HTTP request processing. [Emphasis added]