One of the cool new features in ASP.NET 2.0 is support for what we call "build providers". These are providers that can plug into the ASP.NET compilation system and provide custom compilation support for file-types. ASP.NET ships with a number of built-in providers in the box -- including support for .wsdl and .xsd files. These providers can automatically generate the appropriate proxy or dataset class for you without you having to manually generate code and keep it in sync with the declarative format (I believe they also generate as partial types -- so you can add your own object model and methods to extend them).
Here are two good blog articles that walkthrough building and adding your own custom build provider: http://blogs.msdn.com/kaevans/archive/2005/09/02/460231.aspx and http://pluralsight.com/blogs/fritz/archive/2004/09/06/2188.aspx
As you can see in the screenshots in them, in addition to getting runtime build support, you'll also get intellisense support in VS 2005.
In the beginning of the Whidbey project there was a plan to enable broad declarative support for file-types as compiler inputs (for example: XAML could have been processed this way). Unfortunately due to time/resources the compiler teams had to scale back their support for this -- and only web projects still contain them. I'm hoping we'll see broader support for them in all project types with future releases.