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A module such as mod_php or FastCGI is incredibly faster than plain CGI.. just don't do CGI. As others have said, the PHP program itself is the greatest security threat, but ignoring that there is one other consideration, on shared hosts.
If your script is on a shared host with other php programs and the host is not running in safe mode, then it is likely that all server processes are running as the same user. This could mean that any other php script can read your own, including database passwords. So be sure to investigate the server configuration to be sure your code is not readable to others.
Even if you control your own hosting, keep in mind that another hacked web application on the server could be a conduit into others.