ASP.NET Control, Page and Application execution lifecycle
Erik Porter has compiled links to info on Page lifecycle in ASP.NET. You know, those Load, Init and PreRender events... Well, you'll get a lot more than these if you follow the links!
I particularly recommend Brady Gaster's post (update: link dead) which offers a flat view of all the events from Application to Controls. Only Application_Start and Application_End are missing, but I guess you'd know where to put these ;-)
I'd also add a pointer to the official documentation in the .NET Framework Developer's Guide on MSDN.
Update: a nice picture can be found here.
Update: ASP.NET Page Life Cycle Overview from MSDN