Compilation and deployment of ASP.NET applications has changed drastically in ASP.NET 2.0 (and mostly for the better). During development, builds are just a check for syntax errors, bad references, etc. The compiler output isn't used at run time (on the fly compilation is used instead). Production software, which is precompiled, is created with the new Build -> Publish menu item. Unfortunately, Publish doesn't offer the option to create PDB files for the application.
If you want PDB files, you should publish by hand, using the aspnet_compiler tool (which is what Build -> Publish invokes). This tool includes a –d flag, which will cause the PDBs to be created.