It takes quite a while for VS 2005 to deploy the application to web. Most of the files are third party dlls. Is it possible that once these 3rd party dll's are deployed they are not deployed again.
On publishing it seems all the files are copied again. Is there any way to avoid this?
There's no easy way to do this.
How long is "quite a while", and how are you publishing the files? HTTP? You might consider publishing the deployment locally and zipping it up, moving it to the server, and unzipping it. Or try using FTP and see if that's faster. What will definitely be faster is if you can get to the folder on the webserver as a shared drive, and you can publish to that. I think this is much faster.
You could also put the 3rd party dll's on the server, deploy everything else, then copy the 3rd party dll's to the folder, add them to the application manifest with mage or mageui, then re-sign both manifests with mage or mageui. Frankly, I'd just publish the application to the webserver directly and go to lunch. Introducing manual steps into the process also introduces the possibility of errors...