Use the 'Redirect to URL' strategy when you would like to present your users with an error message which matches the look and feel of the rest of your website. The cost of sending a redirect is only slightly higher than using the 'Display Message' strategy, but the Display Message strategy performs more reliably when upstream applications are flushing headers (see next point).
Be aware that this strategy will not work if the J2EE application (CF etc.) has already committed the headers. For instance, using <CFFLUSH> will cause all headers to be committed to the client. Once headers have been sent, FusionReactor can no longer perform the redirection. If your Redirect strategy is not working, this may be the reason.
Do use the source_url, source_url_params and source_method redirection parameters to display an appropriately-themed error page.
Don't redirect to a page which will cause your J2EE engine to run the request – it may already be in trouble. This means that if you have a static page available which will not cause your J2EE engine to active (a static HTML served by a non-J2EE webserver like IIS or Apache) this is the best option for a redirection target.