Microsoft is cranking out ASP.NET 2.0 how-to videos at a record pace.  Brian Goldfarb lists several new ones here. Scott Guthrie lists them also, and includes a few others here, including one on Microsoft's AJAXy toolkit, Atlas.

Here is a nice short video on setting up security for a folder in ASP.NET 2.0.  This was possible in 1.1, but 2.0 makes it even easier- no code required to secure your site by roles!