I'm having the same problem as Scott, using DNN 4.9.1 under IIS6.  Can anyone give a clarification of the solution?  <clear /> doesn't seem to help.

I solved this by adding the following to the web.config in the sub application,

  <httpModules>
   <remove name="Compression" />
   <remove name="RequestFilter" />
   <remove name="UrlRewrite" />
   <remove name="Exception" />
   <remove name="UsersOnline" />
   <remove name="DNNMembership" />
   <remove name="Personalization" />
   <remove name="ScriptModule"/>
      </httpModules>
     <httpHandlers>
   <!-- This is for CAPTCHA support -->
   <remove verb="*" path="*.captcha.aspx" />
   <!-- This is for Serving files, secure, insecure, from database -->
   <remove verb="*" path="LinkClick.aspx" />
   <!-- This removes syndication support -->
   <remove verb="*" path="RSS.aspx" />
   <!-- This removes legacy support for the Logoff page -->
   <remove verb="*" path="Logoff.aspx" />
   <!-- ASP.NET AJAX support -->
   <remove verb="*" path="*.asmx"/>
   <remove verb="*" path="*.asmx" />
   <remove verb="*" path="*_AppService.axd" />
   <remove verb="GET,HEAD" path="ScriptResource.axd" />
          <remove verb="POST,GET" path="ajaxpro/*.ashx" />
  </httpHandlers>
  <pages validateRequest="false" enableview_stateMac="true" enableEventValidation="false">
       <namespaces>
    <remove namespace="System.ComponentModel"/>
    <remove namespace="System.Data"/>
    <remove namespace="System.Data.SqlClient"/>
    <remove namespace="System.Drawing"/>
    <remove namespace="Microsoft.VisualBasic"/>
    <remove namespace="System.Globalization"/>
    <remove namespace="DotNetNuke.Services.Localization"/>
    <remove namespace="DotNetNuke.Entities.Users"/>
    <remove namespace="DotNetNuke"/>
    <remove namespace="DotNetNuke.Common"/>
    <remove namespace="DotNetNuke.Data"/>
    <remove namespace="DotNetNuke.Framework"/>
    <remove namespace="DotNetNuke.Modules"/>
    <remove namespace="DotNetNuke.Security"/>
    <remove namespace="DotNetNuke.Services"/>
    <remove namespace="DotNetNuke.UI"/>
    <remove namespace="DotNetNuke.Entities.Portals"/>
    <remove namespace="DotNetNuke.Common.Utilities"/>
    <remove namespace="DotNetNuke.Services.Exceptions"/>
    <remove namespace="DotNetNuke.Entities.Tabs"/>
        </namespaces>
     </pages>

Note: the list of remove statements you need may be slightly different.  Check the web.config in the root application and make sure you have a corresponding remove for each item in the sub application web.config.