The web site project type in Visual Studio 2005 sure differs from the web applications you created in VS2003. App_Code directory for example - and the first thing you might find out when you are finally done woth your solution is - wher are the DLL:s to upload to the webservers bin directory??? I.e you need to Publish website - and with that you get the whole website compiled and copied to another directoy ( a pain if you have a lot of things in your app_data directory for example) - and after that you can FTP it up.
And more - the dll:s created are often named strangly :

This is how it looked on my production server yesterday - I needed to do some fixes on a site I run and I had trouble getting it to run correctly on the webserver, therefore I uploaded the site multiple times - and in the rush I didn't have "time" to delete the old files. And since the files are named differentlt on each rebuild I ended up with LOTS of files.
Then I decided: I need to do something about it. The solution is to "go back" - not to VS2003, but to the project type used in VS2003. Scott Guthrie has created a download (check out the links section) - and with that you get a new project type:
And this will result in a "regular/vs2003 styled" project with a single dll. No app_code directory - but still all other features such as themes etc is working.
Be sure to read the docs on Scotts site though - cause it needs some manually tweaks for debugging to work etc.
I tried to convert this site - which is a fairly small project (around 10 aspx pages), master pages is used, a few third party components and a separate BLL/DAL. I did have some trouble at first - some pages didn't get converted when I did "Convert to web application" - and I needed to scratch my head for a while before I understood that. All ASPX/ASCX files should have a .cs AND a .designer.cs file - that's how you can check the status.
No idea why it didn't work - however I jusr rightclicked on the files and ran the "Convert to web application" again for these files - and now it did work.