Redirects Are Free... except this kind.
A circular redirect is created by making a page redirect to itself, or to a page that redirects to itself, or... you get the gist. Please don't do this. In theory, this would cause an infinite loop and possibly Explosive Overclocking or a Reality-Breaking Paradox. In practice, modern browsers are generally smart enough to catch such nonsense and put the brakes on, but it will still lead the poor user to a browser error page. Also, it's somewhat cumbersome to fix, due to not having access to the page's "Edit" button.
Please see Creating New Redirects for other guidelines.