Ok so I'm trying to use the new and cool users, roles management. Works great on my computer of course. Deploying it was another matter...
The key is installing SQL Server 2005 Express on the server and having the correct file permissions on the App_Code folder for NETWORK SERVICE and ASPNET. Was painful to figure out.
This site has a lot of good info:
http://forums.asp.net/ShowPost.aspx?PageIndex=3&PostID=904462