Take a look at this link, it may help:

http://www.velocityreviews.com/forums/t303444-precompilation-in-aspnet-20.html

I normally run into the "slow on first hit", but that's because it IS compiling it for the first time. I've never bothered to pre-compile everything.

If it's neither of those issues, it could be related to something else (a slow SQL connection?).