ASP.net is better at managing caches than Application objects  as a rule. read up on caching if your goal of global objects is to increase performance.
www.aspng.com/.../outputcaching.aspx
www.aspng.com/.../datacaching.aspx
www.learnasp.com/freebook/learn/caching.aspx

The reason you don't read much about that is that it is better to build stateless apps but if your goal is to attach specific data to a User read up on:
docs.aspng.com/.../formsauth.aspx
Forms Authentication