WordPress Based Caching
For WordPress based caching plugins we bypass them for the redirect by hooking into the template_redirect hook provided by WordPress. For plugins like W3TC this gets to the page before the caching takes over.
The actual pages in the tests themselves can remain cached if you wish.
Non-WP Server Side Caching
For non-WP server-side caching solutions like Varnish we recommend adding a rule to exclude all pages involved in split tests.