K. Scott Allen recently published a good post on the new ASP.NET 2.0 Profile system. The profile system provides an easy way to store and retrieve properties about users on your sites -- both logged-in and anonymous. It can save you time and effort in providing a richer personalized experience for people using your site.
I published a sample a few months ago that showed how to take advantage of the profile system as part of a site log-in process that you might want to check out.
Hope this helps,
P.S. I have occasionally heard people say - "personalization is cool, but I'm just building an Intranet site so that isn't so important". One simple scenario I always point out is the common scenario of saving previous data queries/reports. You can do this now in only a few lines of code -- and the difference in user-experience can really be dramatic.