Correct way in new versions of nginx

Turn out my first answer to this question was correct at certain time, but it turned into another pitfall - to stay up to date please check Taxing rewrite pitfalls

I have been corrected by many SE users, so the credit goes to them, but more importantly, here is the correct code:

server {
       listen         80;
       server_name    my.domain.com;
       return         301 https://$server_name$request_uri;
}

server {
       listen         443 ssl;
       server_name    my.domain.com;
       # add Strict-Transport-Security to prevent man in the middle attacks
       add_header Strict-Transport-Security "max-age=31536000" always; 

       [....]
}

Since the answer is somehow hidden in the question - here is the solution for nginx in a VirtualBox environment as standalone answer.

In your nginx config (usally /etc/nginx/nginx.conf) or vhost config file change the sendfile parameter to off:

sendfile  off;

While sendfile is at the heart of Nginx's fame (blazing-fast low-level static file serving efficiency) it might be a bane for local development, e.g. Javascripts that change often and need to be reloaded. Nonetheless Nginx sendfile is smart and probably isn't most people's issue; check your browser's "disable cache" options as well!