Visual Studio 2005 and ASP.NET 2.0 introduced a new project-less model for web development which was designed to simplify the process of developing a web site using ASP.NET and Visual Studio, and enable scenarios like filesystem-based web sites. Personally, I find the new model very nice, and appreciate the simplicity. Some developers, however, have found the lack of project files limiting in a number of ways.
For folks who are less than fond of the new project-less model, there's good news...the ASP.NET team is working on a new project option for web applications that will more closely resemble the project model from Visual Studio .net 2003. This will not replace the current model, but will rather be a sibling to it. When you create a new project, you'll be able to choose either the project-less model, or the new project model. You'll also be able to switch between the two as necessary.
Scott Guthrie explains it all in this post.