We have several public facing SharePoint sites which use a lot of ASHX files.
We have a virtual directory where we keep a lot of site assets including the ashx files.
I love using ASHX files as they are easy to deploy (no deploying) and can be edited independent of any project.
I use the CEWP and where it asks for an HTML file I drop in the path to the (web part) ashx file.
So far this is working great for us. I love the idea of keeping away from WSPs and using ashx files.
I use ASHX files for webparts so often I created a web part like the CEWP but it gives you the option of caching the ashx file to prevent one extra request to the server.
Is this development and heavy reliance on ASHX bad? Am I doing something terribly wrong?