The new ASP.NET 2.0 compilation model may not work for everyone. I'm a bit dismayed at Microsoft because many developers are having to jump through hoops in order to create a single dll out of their web project like in the ASP.NET 1.1 model.

Fritz Onion has compiled some good notes on his Wiki on this topic:
ASP.NET Applications without Web Projects

Related info:
New Compilation Modes in ASP.NET 2.0
Precompilation In ASP.NET 2.0