Why would you want to serve asmx (or any other .NET pages) without IIS? I’ll tell you why: because I don’t want to upgrade my OS everytime the webserver gets new features. Because I want to run IIS 6 on Windows XP (I would have probable paid for it, if I could). Because I don’t want a server-OS. Not only does that need to be licensed per seat, but all other software (antivirus etc) is more expensive too.
Instead, I switched to Apache. And via tricks and stuff I can now run .NET via Apache (Wiki), but of course only when I install things manually. No integration with VS.NET or anything else for that matter. But at least I did not have to buy a new server, and a new OS, several seats, new antivirus software, and what-did-I-forget, just to run IIS 6.
Jun 232005