Is there a way to pre-compile websites with VWD Express ?
Can I use ASP.NET Merge tool or similar utility ? and is there any limitation to options (can I choose whatever options like in VS Pro edition)
Not 100% about VWD but do you have post build options within IDE (under the Build Events of the web application properties)
Even without you could run following from the command line
C:\Windows\Microsoft.NET\Framework\v2.0.50727\aspnet_compiler -v / -f -u -p
"$(ProjectDir)\" "$(SolutionDir)PrecompiledWeb\$(ConfigurationName)"