I made some tests by letting JMeter run a few thousand WMS GetMap
requests with varying BBOX and WIDTH and HEIGHT parameter. I tested
three alternatives:
MS4W 2.2.8 and Mapserver 5.2.1
MS4W 3.0 beta 7 and Mapserver 5.6.0 as cgi
MS4W 3.0 beta 7 and Mapserver 5.6.0 a fcgi
Server is Windows 2003
It's hard to give a definite answer without seeing your actual setup,
mapfile, data, etc.
However, as a general rule, you will gain from using fastcgi only once
you get to the point where the processing time for each request (to read
data and render the map) becomes close to or smaller than