Hi Robert,
This is a great question. You are right that there are a few ways to run an experiment with Optimizely. The default and easiest way to get up and running is to run an experiment on the same URL without redirecting to another page. Alternatively you can redirect to another URL. Customers commonly use both techniques and neither will negatively impact SEO.
Here is a more detailed explanation of how Optimizely affects SEO: http://support.optimizely.com/kb/advanced/does-optimizely-affect-my-search-ranking-or-seo
Here is Google's stance on this: http://www.google.com/support/websiteoptimizer/bin/answer.py?hl=en&answer=63382
Hope that helps answer your question!
Thanks,
Dan Siroker
Co-Founder & CEO, Optimizely