In the CGI version, the PHP interpretor is loaded at each request, so it's quite costly (process and environment creation).
In the ISAPI version, the interpretor is loaded once (it's a DLL), and no process is created, only a thread per request (more efficient).
So, ISAPI is faster, but, generally speaking, CGI is more reliable (memory leaks or some other bugs in an ISAPI module can potentially bring the server down).