Is there a benefit to creating a Web Application vs a Website Project?

As a follow up to that when i have create a web application it doesn't give me the choice to put class files in the app_code folder like I would with a project, and I can reference the classes in the codebehind. But when I go to run the project, via the play button, it gives me an error stating that the class is not defined. Am i missing something, is there something I'm supposed to be doing to get those files compiled with the rest of the application?

~S_M