One of the things many folks want to do as soon as they start playing with the Membership provider in ASP.NET 2.0 is to share a single credential database across multiple applications. And of course, most folks don't want to just run their applications locally, they want to copy them to a production server.
In both cases, it's possible to run into issues if you don't set the applicationName property for your application. Scott Guthrie put together a nice post a couple of months ago that explains what applicationName does and why it's so useful. He also recommends this rollup of information he's posted on Membership, Roles, Security, etc.