What's the best approach for an http:redirect with exceptions?

Looks good. May be use a variable:

when HTTP_REQUEST { 
set PATH [string tolower [HTTP::path]]
 Check if path starts with /my_old_site/
if { $PATH starts_with "/my_old_site" && $PATH not (starts_with "/my_old_site/subsite_we_need_to_keep")}  { 

 Modify HTTP::path to replace original request 
HTTP::redirect [string map {/my_old_site /my_new_site} [HTTP::path]] 
}
}