I played around with the Win32 version of Apache for a while, using it with Cold Fusion. It seemed to work OK. I found it quite easy to set up -- you can just grab the binaries, and I just noticed there's now a Microsoft installer package, which makes it even easier -- and easy to configure, too.

I don't remember actually trying to use any CGI scripts, but I haven't heard anything about it not working on Win32.

Just to be sure, though, I just installed it and am happy to verify that CGI scripts do work fine under Win98, and the error log is readable while the server is running. :)