In order to improve Web Site Project build times keep number of files in your /app_code directory small. If you end up having a lot of class files within this directory, move them into separate class library project and reference that project from your web-site. This isn't usually an issue if you just have a small number of files in /app_code, but if you have lots of directories or dozens of files you will be able to get speed improvements.
One other thing to be aware of is that whenever you switch from source to design-view within the Visual Studio HTML designer, the designer causes the /app_code directory to be compiled before the designer surface loads. The reason for this is so that you can host controls defined within /app_code in the designer. If you don't have an /app_code directory, or only have a few files defined within it, the page designer will be able to load much quicker (since it doesn't need to perform a big compilation first).