One easy trick to debug newly written code in the global.asax file is to save the web.config file. Each time the config.file is saved, the application is stopped and started.
You could find useful information in this blog entry
Workaround: Debugging Global.aspx.cs Application_Start() with ASP.Net Web Server within Visual Studio
The reason behind this is that we do
not kill the ASP.Net Web Server
process after your every debug run and
hence Application_Start() is not fired
every time. There is a good reason
why we do so... Starting ASP.Net Web
Server process is an expensive task
and in most of the scenarios recycling
this process after every debug would
adversely impact your performance...
If you do not want to debug your
Application_Start() method then
probably you do not need to have the
process restart and save performance
most of the time...
One of the proposed workarounds:
You can go to your property pages of
your web application and enable Edit &
Continue like shown below:

(from the Visual Web Developer Team Blog)