CGI is a stand alone version of PHP... for every script the PHP engine is loaded, fed the script... the script is process and something is returned.
i'm not entirely sure if it dies now or waits for more connections, but either way sooner or later it dies.
the module version is memory resident and multi-threaded and is always running as long as apache is running... for ever php page, it just does its job, and does it fast.
if you are using the module version, make sure you got a decent amount of RAM, if you are using the PHP as executable (CGI) version, make sure you have a decent amount of processing power.
in the long run i highly favor the module