A side from canonical issues (e.g. site.com -->
www.site.com) I personally never link to a redirected site (because there are so much spam / scam / hijacking etc. connected with redirection).
Another exception to the above rule:
site.com
redirects to
site.com/default.htm
or
site.com/home/index.html,
I personally prefer to link to site.com, since the last two versions are more probabale to change in the future, and then I have a broken link.
And of course, redirections are tolerated in affiliate links.