Yii 1
Most of the other answers are wrong. The poster is asking for the url WITHOUT (some) $_GET-parameters.
Here is a complete breakdown (creating url for the currently active controller, modules or not):
// without $_GET-parameters
Yii::app()->controller->createUrl(Yii::app()->controller->action->id);
// with $_GET-parameters, HAVING ONLY supplied keys
Yii::app()->controller->createUrl(Yii::app()->controller->action->id,
array_intersect_key($_GET, array_flip(['id']))); // include 'id'
// with all $_GET-parameters, EXCEPT supplied keys
Yii::app()->controller->createUrl(Yii::app()->controller->action->id,
array_diff_key($_GET, array_flip(['lg']))); // exclude 'lg'
// with ALL $_GET-parameters (as mensioned in other answers)
Yii::app()->controller->createUrl(Yii::app()->controller->action->id, $_GET);
Yii::app()->request->url;
When you don't have the same active controller, you have to specify the full path like this:
Yii::app()->createUrl('/controller/action');
Yii::app()->createUrl('/module/controller/action');
Check out the Yii guide for building url's in general: http://www.yiiframework.com/doc/guide/1.1/en/topics.url#creating-urls