I'm just wondering what the differences and advantages are for the different CGI's out there. Which one would be best for python scripts, and how would I tell the script what to use?
A part answer to your question, including scgi.
CGI vs FCGI
Lazy and not writing it on my own. From the wikipedia: http://en.wikipedia.org/wiki/FastCGI
Instead of creating a new process for each request, FastCGI uses persistent processes to handle such requests. Multiple processes can configured, increasing stability and scalability. Each individual FastCGI process can handle many requests over its lifetime, thereby avoiding the overhead of per-request process creation and termination