I've found it surprising how tricky it is to run ordinary .aspx pages and applications in Sharepoint. Chris Johnson from Microsoft offers some interesting alternatives on how to do this:
http://blogs.msdn.com/cjohnson/archive/2006/09/05/740498.aspx
One of the cooler tools I've come across for this is SmartPart which is a generic Web part allows you to host any ASP.NET user control within your SharePoint sites. It allows for a designer-driven approach to developing Web parts instead of very code-intensive approach that is available out-of-the box with SharePoint. You can download SmartPart here. Jans offers a video and a user's guide to get you started.