There are four ways to suppress an output:

1. Redirection to $null variable
   
   Default

   PS C:\> 1; $(2; return) > $null; 3 1 3

   1 2 3 4

   PS C:\> 1; $(2; return) > $null; 3 1 3

2. Piping to Out-Null cmdlet
   
   Default

   PS C:\> 1; $(2; return) | Out-Null; 3 1 2

   1 2 3 4

   PS C:\> 1; $(2; return) | Out-Null; 3 1 2

3. Casting to [void] type
   
   Default

   PS C:\> 1; [void]$(2; return); 3 1 2

   1 2 3 4

   PS C:\> 1; [void]$(2; return); 3 1 2

4. Assignment to $null variable
   
   Default

   PS C:\> 1; $null = $(2; return); 3 1 2

   1 2 3 4

   PS C:\> 1; $null = $(2; return); 3 1 2

All four cases are expected to be equivalent.

Why redirection to $null behaves different? Have I faced a bug?

An additional example

This example shows unexpected behavior of > $null command in PS 2.0:

return command acts as if it exits from some nested context (though there is no command which creates it), stops $() expression execution and then continues the execution (when it shouldn’t) in the current context to the Write-Output 5 command.

BEHAVIOR EXPLANATIONS

(from wOxxOm‘s answer)

• in PS 1.0 and 2.0 > $null operation is executed before $() expression and suppresses its output; return command does not exit from the current context (considered a BUG), but stops $() expression execution
• in PS 3.0 and newer > $null operation is executed before $() expression and suppresses its output in all cases; return command exits from the current context completely
• | Out-Null, [void], $null = operations are executed after $() expression and suppress its output if there is no return command in it; return command exits from the current context completely

SUMMARY

Different methods for suppressing command output:

1. ... > $null redirection to $null variable
   Bug in PS 1.0 and 2.0. In PS 3.0+ output may differ from other methods
2. ... | Out-Null piping to Out-Null cmdlet
   Performance issues ^*
3. [void]... casting to [void] type
   Advisable
4. $null = ... assignment to $null variable
   Advisable

• 2 is actually executed as Write-Output 2
   
• $() executes the enclosed code in the same context, it doesn’t create a new context.

  Things that create a new context are scriptblocks like & { ... }, 1..2 | ForEach { ... },
  ({ ... }).Invoke(), select @{N='calculated property'; E={$_.foo}} and functions.
   

• Thus, $( return ) exits from the current context so nothing should be evaluated after that (in other words PowerShell 1.0 and 2.0 have a bug).

Redirecting the output stream:

The output stream itself of the entire $() expression is suppressed with >$null, which is decided before the expression is evaluated, return exits from the current context before 3 gets a chance.

PS 3 (and newer) correctly prints only 1:

1

PS 1 and 2 incorrectly print both numbers and indeed it’s a bug:

1
3

Processing the output stream:

1
2

2 is pushed to the output stream here, then return exits the current context before subsequent operation can take place (casting, assigning, pipelining).

As for performance differences, see this answer: | Out-Null is the slowest because it creates a pipeline which is a complex process; the other methods discard the output, no extras created.