K. Scott Allen has an awesome blog and regularly publishes great articles on .NET topics (I've linked to a lot of them in the past).
Last week he published an advanced ASP.NET 2.0 Master Pages Tips, Tricks and Traps article that you should check out here. It goes really deep and does a great job of describing the control tree mechanics of how a master page and content page are merged together at runtime, how you can programmatically switch master pages on the fly from within a page, within a page base class, and even within an HttpModule (to enforce behavior across a site), how to build base-class "contracts" between master pages and content pages to programmatically share data or behavior semantics, how to use base-classes across your site to encapsulate common functionality (for example: meta-tags in headers), how URL re-basing works for URLs and resources, and a bunch more advanced topics.
Definitely worth checking out if you want to really push master pages hard and get the most out of them.
Hope this helps,