XSLT extension methods must return a type that is supported within XSL transformations. The following table shows the W3C XPath types and their corresponging .NET type:
W3C XPath Type        | Equivalent .NET Class (Type)
------------------------------------------------------
String                | System.String
Boolean               | System.Boolean
Number                | System.Double
Result Tree Fragment  | System.Xml.XPath.XPathNavigator
Node Set              | System.Xml.XPath.XPathNodeIterator
The table is taken from the section Mapping Types between XSLT and .NET in this MSDN Magazine article.
Instead of returning a string[] array you would have to return an XPathNodeIterator like it is done in the following example:
<msxsl:script implements-prefix="extension" language="C#">
<![CDATA[
public XPathNodeIterator GetList(string str, string delimiter)
{
    string[] items = str.Split(delimiter.ToCharArray(), StringSplitOptions.None);
    XmlDocument doc = new XmlDocument();
    doc.AppendChild(doc.CreateElement("root"));
    using (XmlWriter writer = doc.DocumentElement.CreateNavigator().AppendChild())
    {
        foreach (string item in items)
        {
            writer.WriteElementString("item", item);
        }
    }
    return doc.DocumentElement.CreateNavigator().Select("item");
}
]]>
</msxsl:script>
In your XSL transform you can then iterate over the elements in the returned node set using xsl:for-each:
<xsl:template match="/">
    <root>
        <xsl:for-each select="extension:GetList('one,two,three', ',')">
            <value>
                <xsl:value-of select="."/>
            </value>
        </xsl:for-each>
    </root>
</xsl:template>