Kevin made a post about ASHX files recently. Like Kevin, I found the documentation on HTTP Handlers very light, in fact I heard about them by attending a talk by Jeff Prosise on Power ASP.NET. Another interesting technique I picked up from Jeff's talk was a method to cache a database table using the built in caching features of ASP.NET.
This involves creating an extended stored procedure which basically touches a file to update the date/time it was last modified. Then you create an Update/Insert/Delete trigger on the table that is in the cache to call the extended stored procedure. Finally, create a file dependency on the cache to update when the file is updated.
Plenty of articles on developing and debugging Web apps, extracting performance data, using page templates, and more