I have spend some time on VPPs and I came across a strange bug that turned my life miserable for a few days. I created a virtual path provider which was serving pages just fine until I placed a ScriptManager on the page and enabled Page Methods. As soon as I did that, my virtual path was mapped to the file system and I was receiving an HttpException prompting that the FileChangesMonitor could not monitor that directory since it did not exist or access was denied (obviously since it was a virtual directory in my database). The ASP.NET team confirmed the issue and a QFE should be out soon to resolve the issue. Read more on me moaning about the issue at:
Update: Due to popular demand (ok just one comment below xD); this has been indeed fixed and I have a test version of the hotfix. There will be a service release for .NET 3.5 SP1 (possibly SP2?) which will include the fix. That indeed affects SharePoint as they use a VPP there as well.