Aaron Skonnard has an MSDN Magazine article about running ASMX without IIS, but instead uses Http.sys through the new managed HttpListener APIs in the .NET Framework 2.0. He provides code demonstrating how to tie Http.sys directly to ASP.NET.
Jeffdav continues his blogging about the WinInet Cache with a multiple posts on index.dat.
IIS now has a team blog called IIS Hints & Tips. Thier first technical post is about how IIS and ASP.NET uses the http.sys cache.