I think my understanding on SimpleMembershipProvider is almost 60% and the rest is getting to know how it internally work.
SimpleMembershipProvider
You can quickly found some is
I knocked my head on the walls for a day trying to figure out why my Role.GetRoleForUser failed. It was because of the LazyInitializer not getting called.
So, like Matt said, just put it in App_Start to make sure you have no issues.