I've been looking at the ASP.NET cache object, which makes the older Application object effectively redundant. The analogy is that it is like a leaky bucket. A bucket in which you can store data which is "expensive" to retrieve from its source every time. Since databases and files are considered slow in comparison with in-memory data then it makes sense to keep a copy of certain data you use frequently in the cache, which is stored in memory.
The bucket is leaky because you can only put so much data in the cache before it fills up and has to drop some. It uses a simple method called LRU - Least Recently Used to decide what data it disposes of by default. I say by default, because you can specify, if you so wish and make data persist for a period of time or make it dependent on other data on file, database, or cached data.
The cache is shared however by the whole application and is therefore accessible by the whole application, so you have to be careful what kind on data you store in here. You probably don't want to store user specific data here!
You also need to check that the data you want to use is in the cache before you go and use it. Sounds obvious, but if you don't code this right, by assigning the cached object to a variable then checking the variable you could discover bugs which you can't replicate in a test environment.