Personally, I've only used CGI for my web development. My understanding is that mod_perl is better suited for larger sites with higher bandwidths because it not interpreted as straight CGI is (I'm sure I'll get some interesting replies and -- for that lame explanation). It runs faster and leaner as a result.

If you are just beginning, you might want to get your feet wet with straight Perl and CGI (be sure to take Ovid's classic course). You'll learn the basics, most of which can be applied to mod_perl once you make the switch.

I highly recommend you adapt a templating system early on. I use HTML::Template which is widely supported here at the Monastery. Also consider CGI::Application which will force you to write more structured code, and will lighten some of the coding burden.