CGI? Well, I used Borland Delphi to write some CGI applications. Basically, a CGI application is just a "console" application that reads from the "input console" and writes to the "output console". That's basically it. It's not a special language or whatever, although some people do speak of Perl as if it's a CGI language. Reality is, however, that CGI is language-neutral. You might want to read more about it at this wiki if you're interested.

Why did I decide to use CGI's, though? Well, the alternative was writing ISAPI DLL's but when you want to modify your page and thus adjust the binary, you have to actually stop the webserver before replacing the ISAPI DLL while with CGIs you can just overwrite the old binary with a new binary.
And sure, CGI's are a bit slow. But if you have about 5 visitors per hour, no one would really notice this slowness anyways. Even worse, ISAPI DLLs have brought down webservers in the past simply because they are loaded in the process space of the server. CGI's use their own process space.

But these days I've replaced both with ASP.NET development, combined with my preferred language: Delphi 2005.

Of course, CGI's on an Unix-system would perhaps show a different performance, with more different alternatives.

One more thing to consider. When Windows loads a CGI application, the executable binary will just be loaded once, no matter how many differennt instances you have running. All that gets duplicated is the data segment of the executable and the stack. But the binary is loaded only once. Thus if your executable is 10 MB in size but only uses 1 MB of data, it will use less resources than an executable that is 1 MB in size but requires 10 MB in total. (Which is why it's a bad idea to ExePack executables that you will have multiple instances of.)