I recently wrote this article on hosting web service applications with Cassini for Hardcore Web Services (edited by Mike Gunderloy).

If you're interested in learning more about the internals of of a web server or are looking for a lightweight server for hosting your ASP.NET or ASP.NET Web services applications, you should take a look at it. Cassini is very useful for customizing or extending the HTTP server to suit your needs for testing and development purposes.