likely outdated by now, but there are plenty of good howtos out there to get nginx to do cgi/fastcgi:

• http://www.howtoforge.com/nginxphp5fastcgixcache_ubuntu7.04
• http://blog.zhekov.net/2007/8/15/nginx-php-fastcgi/
• http://drupal.org/node/110224

I did it on lenny the other night from a fresh install; took about 20 mins. Great article btw, care to write an update since this is now +1 year old?