Processing data stored in Redshift
The new Amazon Machine Learning Service may work for you. It works directly with Redshift and might be a good way to start. http://aws.amazon.com/machine-learning/

If you're looking to process using EMR, then you can use Redshift's UNLOAD command to land data on S3. Spark on EMR can then access it directly without you having to pull it into HDFS.

Spark on EMR: https://aws.amazon.com/articles/Elastic-MapReduce/4926593393724923