Page load , filling controls with data, performance overhead?

Question

Hi,
I want to fill a dropdownlist and datagrid from a sql datatable in asp.net page. In past i have been doing this in page load method. I just want to know which method is good for retrieving data from sql and assigning to controls. I was revising the page cycle concepts and it seemed that page.load method is called recursively for each control. if that is the case then i think, i am incorrect when i use page load method. Please correct me. Thanx.