I'd say `template_redirect`. But take a look at the [Action Reference][1].

## Example

Don't forget to `exit()` on redirect.

    /**
     * This example redirects everything to the index.php page
     * You can do the same for the dashboard with admin_url( '/' );
     * Or simply base the redirect on conditionals like 
     * is_*() functions, current_user_can( 'capability' ), globals, get_current_screen()...
     * 
     * @return void
     */
    function wpse12535_redirect_sample()
    {
        exit( wp_redirect( home_url( '/' ) );
    }
    add_action( 'template_redirect', 'wpse12535_redirect_sample' );


  [1]: http://codex.wordpress.org/Plugin_API/Action_Reference