Most ASP.NET developers are happy with using the default template that Visual Studio gives them for code behind which handles the Page_Load event. This is just weird because you are subscribing to your own event.
In my opinion the better approach would be override the OnLoad event, this gets rid of the overhead of attaching to the event and firing the delegate but it also gives you better intellisense support. In VB.NET you have helpful menu's for subscribing to page events but in C# the only way to get those helpful menu's is to use inline code.
The only caveat for using this approach is that the override keyword implies that you want to change the behavior of OnLoad which is not true, you simply want to setup the page. In fact you will still need to call base.OnLoad() so that the Page_Load event fires because you want to make sure that any other EventHandlers for Page_Load are called.