Both Scott and Bertrand has written nice articles on how to use custom HttpHandlers in order to return custom content from a HTTP request. The most common practise is to stream content directly to the client instead of pointing to a PDF or image URL, for example. It easily lets you act upon HTTP Requests without implmenting the full web page structure.

Even if the HttpHandler / ASHX architecture isn't very well documented, the two articles should give you a good head start.