HttpApplication Events:

Application_AcquireRequestState
Occurs when ASP.NET acquires the current state (for example, session state) that is associated with the current request. 

Application_AuthenticateRequest
Occurs when a security module has established the identity of the user. 

Application_AuthorizeRequest
Occurs when a security module has verified user authorization. 

Application_BeginRequest
Occurs as the first event in the HTTP pipeline chain of execution when ASP.NET responds to a request. 

Application_Disposed
Adds an event handler to listen to the Disposed event on the application. 

Application_EndRequest
Occurs as the last event in the HTTP pipeline chain of execution when ASP.NET responds to a request. 

Application_Error
Occurs when an unhandled exception is thrown. 

Application_PostAcquireRequestState
Occurs when the request state (for example, session state) that is associated with the current request has been obtained. 

Application_PostAuthenticateRequest
Occurs when a security module has established the identity of the user. 

Application_PostAuthorizeRequest
Occurs when the user for the current request has been authorized. 

Application_PostMapRequestHandler
Occurs when ASP.NET has mapped the current request to the appropriate event handler. 

Application_PostReleaseRequestState
Occurs when ASP.NET has completed executing all request event handlers and the request state data has been stored. 

Application_PostRequestHandlerExecute
Occurs when the ASP.NET event handler (for example, a page or an XML Web service) finishes execution. 

Application_PostResolveRequestCache
Occurs when ASP.NET bypasses execution of the current event handler and allows a caching module to serve a request from the cache. 

Application_PostUpdateRequestCache
Occurs when ASP.NET completes updating caching modules and storing responses that are used to serve subsequent requests from the cache. 

Application_PreRequestHandlerExecute
Occurs just before ASP.NET begins executing an event handler (for example, a page or an XML Web service). 

Application_PreSendRequestContent
Occurs just before ASP.NET sends content to the client. 

Application_PreSendRequestHeaders
Occurs just before ASP.NET sends HTTP headers to the client. 

Application_ReleaseRequestState
Occurs after ASP.NET finishes executing all request event handlers. This event causes state modules to save the current state data. 

Application_ResolveRequestCache
Occurs when ASP.NET completes an authorization event to let the caching modules serve requests from the cache, bypassing execution of the event handler (for example, a page or an XML Web service). 

Application_UpdateRequestCache
Occurs when ASP.NET finishes executing an event handler in order to let caching modules store responses that will be used to serve subsequent requests from the cache. 

Application_Init
This method occurs after _start and is used for initializing code.

Application_Start
As with traditional ASP, used to set up an application environment and only called when the application first starts.

Application_End
Again, like classic ASP, used to clean up variables and memory when an application ends.

Session Events:

Session_Start
As with classic ASP, this event is triggered when any new user accesses the web site.

Session_End
As with classic ASP, this event is triggered when a user's session times out or ends. Note this can be 20 mins (the default session timeout value) after the user actually leaves the site.

Profile Events:

Profile_MigrateAnonymous
Occurs when the anonymous user for a profile logs in.

Passport Events:

PassportAuthentication_OnAuthenticate
Raised during authentication. This is a Global.asax event that must be named PassportAuthentication_OnAuthenticate.
 

Possibly more events defined in other HttpModules like:

System.Web.Caching.OutputCacheModule
System.Web.SessionState.SessionStateModule
System.Web.Security.WindowsAuthentication
System.Web.Security.FormsAuthenticationModule
System.Web.Security.PassportAuthenticationModule
System.Web.Security.UrlAuthorizationModule
System.Web.Security.FileAuthorizationModule
System.Web.Profile.ProfileModule