If you are using the VS 2005 Web Application project option, here are a few optimizations you might want to consider:

1) If you have a very large project, or are working on an application with many other developers, you might want to consider splitting it up into multiple "sub-web" projects.  I wouldn't necessarily recommend this for performance reasons (unless you have thousands and thousands of pages it probably doesn't make a huge difference), but it can sometimes make it easier to help manage a large project.  Please read this past blog-post of mine on creating sub-web projects to learn how to use this.

2) Consider adding a VS 2005 Web Deployment project to your solution for deep verification.  I mentioned above that one downside of using the VS 2005 Web Application Project option was that it only compiled the code-behind source code of your pages, and didn't do a deeper verification of the actual .aspx markup (so it will miss cases where you have a mis-typed tag in your .aspx markup).  This provides the same level of verification support that VS 2003 provided (so you aren't loosing anything from that), but not as deep as the Web Site Project option.  One way you can still get this level of verification with VS 2005 Web Application Projects is to optionally add a VS 2005 Web Deployment Project into your solution (web deployment projects work with both web-site and web-application solutions).  You can configure this to run only when building "release" or "staging" builds of your solution (to avoid taking a build hit at development time), and use it to provide a deep verification of both your content and source code prior to shipping your app.