Today, as I was debugging my home site, I figured it out that the built-in web server that came along with Visual Studio 2005 behaves differently. Development Server catches all the requests in Application_BeginRequest() event, whereas my local IIS does not. God knows what else is in store (you might like to check it out, i did not bother - yet).

So for any reason it is most advisable to test your Web Application in your local IIS before deployment.