Shawn posted a mini-rant / tip about not subscring to your own events. I've got to post a small rebuttal. In general, not subscribing to your own events is a good coding practice, if not a huge perf win as Chris Sells points out in the post's comments. On the other hand, subscribing to your own Load event has a good purpose, it is the handle first created event. There are a lot of times you want to do stuff after your handle is first created. An example is here.
While everyone reading this blog certainly realizes the differences between code in the Form's constructor and the Load event, the average VB user, or Mort as we call him internally, doesn't. Mort thinks of the Load event as if it is the Form's constructor and loves to be able to double click to add constructor-esque code.
In summary, the Load event is about convenience and about handle creation.