<p>I am trying to figure out what exactly is Appdomain recycling?
When a aspx page is requested for the first time from a DotNet application, i understand that an appdomain for that app is created, and required assemblies are loaded into that appdomain, and the request will be served. 
Now, if the web.config file or the contents of the bin folder, etc are modified, the appdomain will be "recycled".
My question is, at the end of the recycling process, will the appdomain be loaded with assemblies and ready to serve the next request? or a page has to be requested to trigger the assemblies to load?.</p>

Take a look at this - that might explain it:
http://weblogs.asp.net/owscott/archive/2006/02/21/ASP.NET-v2.0-
2D00
-AppDomain-recycles_2C00_-more-common-than-before.aspx#440333
In general. What is called "first hit" on an ASP.NET Website is usually taking longer time, due to compilation, and creation of an AppDomain.
Whenever you deploy a site - make sure to use the "Publish Website" function in Visual Studio, to pre-compile your website. Then the "first hit" penalty is reduced. And remember to set the configuration to Release, and not Debug!