I know this post is a little out-dated, but for those of you who stumble onto this issue - I found that I was missing a piece of the picture. Josh's comment above stating "By default, the login control will redirect the user to the requested page if authentication is successful." is accurate - so long as you're not trying to manually complete the authentication redirection process.
First, make sure you've eliminated anonymous access to the page the user is attempting to navigate to at the web.config level:
<authorization>
<deny users="?"/>
</authorization>
Now, if you've got any type of Membership-checking redirection functionality written into the Page_Load of your user's destination - something similar to the following, take it out:
if (Membership.GetUser() == null)
Server.Transfer("Login.aspx");
userID = (Guid)Membership.GetUser().ProviderUserKey;
if (userID == null)
Server.Transfer("Login.aspx");
Confirm you've removed any Login control instructions for where to re-direct the user after authentication and now you should see your application behave appropriately by redirecting the user back to their originally intended destination following authentication.
My problem was that I was not taking full advantage of the Membership features and allowing the application to lock the user out automatically. In doing so, and manually re-directing the user to the Login.aspx page, the application had no idea where my user had originally intended to go.
I hope my ignorance and frustration helps someone else out along the way.