ASP.NET takes a while to "wind"

Does anyone have any idea what I can do to improve the performance of the ASP.NET engine by keeping it in memory all the time? Apparently, when I have been using the ASP.NET site and while my application is talking to the web service, it responds pretty quick.. but if it's been off for a while it takes a little bit to kick back on, somewhere in the order of 60 seconds from the moment I hit a query button in my app, till the SQL database is read and the web service replies to the application with information. Subsequent information requests take merely 1 to 2 seconds.

Why is that, and what can I do to fix it?

If you request a page, and the ASP.Net service is not running, then it must recompile every .aspx page it requires.
The ASP.Net service shouldn't just pop out of memory though.

I can leave our server on for days and its still all in memory ready.

Take a look in Event Viewer - are there any errors causing asp to crash?

Ok, the ASP.NET service never stops running. However I'm not talking about ASP.NET pages, I'm talking about ASP.NET XML Web Services. When the web service has been inactive (i.e. not being used) for a while, it takes a little bit to run through the first query. Additional queries are pretty quick.

It does a lot of caching - so you would expect it to perform far quicker on subsequent calls to same query (as does SQL Server). You can configure many caching options to define what and how long various aspects are cached.