Scott Guthrie has a series of greats post about Web Projects in VS 2005, including a lot of details about how much better it is than VS 2003 offers. I'd expand more on it, but Scott does an awesome job by himself, so just go read them for yourself.
These are posts that Scott aluded to a while ago, and his follow ups are very informative, and relieve (I think) a lot of the fears that are out there about the new project-less web projects in .NET 2.0.
Warning: These posts are long! If you don't have time to get through them, then save them for later. They are definitely worth the time to read them fully.