I hate when I post a question and find the answer. So, just so everyone can know what i was doing wrong.
WindowIdentity, HttpContext and Thread can all get back a user's login info from the browser but they all work differently according to what you have configured in the Web.Config. My issue was missing the impersonate line which has to be true with Windows authentication for WindowIdentity to grab the current user's info. You can find this info I found here on MSDN site and worth looking at if you ever going to work for a company who doesn't want their users logging into every site. Works good too if you have the SIDs for the groups in AD for your network as you can even make pages group based based on the SIDs. This model makes me able to build the pages and have someone else administer the rights by just knowign Active Directory hehe. Also, i don't have to mess with LDAP this way. Any, info on the impersonation stuff is here.