I've thought about running PHP in CGI mode on my Linux server in the past but I ran into some trouble with software I was running (I think it was a PHP accelerator).
The reason I wanted to switch to CGI mode is because it allows PHP scripts to run as a different user (usually you want the scripts to run under the user who's uploading the files). This is a big security advantage. If you have multiple users on your server they won't be able to access eachother's files by using clever PHP scripts and you'll never run into the trouble where PHP scripts create files with the user of the webserver as owner.
PHP in CGI mode has it's uses and is absolutely not limited to the Windows platform.
A more modern solution to the above mentioned problems would be to use usermode linux or some sort of virtualisation but that gives a lot of overhead and is less easy to administrate.
If anyone has a better solution to those problems I'd love to hear about them but I don't want to get too much off-topic here, I just wanted to point out that PHP in CGI mode is not only used to make buggy platforms work stable