Personal preference. You can either write your own Authentication, and save the info into a database, or go to IIS and set your site up to use integreated windows authentication, and let NT do your work for you.
I use an ASP login with a database. I don't like having unnecessary user accounts on my servers, plus if you don't do your own hosting it is unlikely that your hosting company will add user acounts to there server for you. Aside from that, it is personnal preference.