Please try using this CVS snapshot:

  http://snaps.php.net/php5.2-latest.tar.gz
 
For Windows:
 
  http://snaps.php.net/win32/php5.2-win32-latest.zip

I just tested it with:
PHP Version 5.2.1RC4-dev Build Date:Jan 25 2007 12:17:41

And again it doesn't work with PHP-CGI, but it works with command line (Apache module not tested with this version).

Same result:
bool(false)

I tested with 'php-cgi -f test.php', where test.php contains your reproduce code, but I'm not able to reproduce this problem.
Please check the permissions of the user that is running the PHP CGI binary.
Also, are you running CGI alone (as I did) or from a webserver? And is it running in a different user account?

I've the same result as you when using PHP-CGI from command line. PHP-CGI from Apache runs as "NT-AUTORIT?T/SYSTEM", like Apache. So if this was the reason gethostnamel should also have failed when using it as module, but it didn't when I tested it with PHP6.

But when I use PHP-CGI with Apache it doesn't work. I somehow suspect that Apache and PHP communicate via some TCP/IP connection and that this interferes with gethostbynamel.

FYI, here just the two most important lines from my Apache configuration:
LoadModule fcgid_module modules/mod_fcgid.so
FCGIWrapper "c:/Programme/Net/php5/php-cgi.exe" .php
Maybe I've just configured things wrong a bit, but I can't imagine that such a strange error could be the result of misconfiguration.

Please make sure your firewall does not block DNS requests issued by gethostbynamel().
Just disable the firewall for some time.

And please use 5.2, not PHP6.
PHP6 is in pre-alpha stage, which means it's a bit early to test it yet.

I justed tried to disable my firewall. It didn't make any difference. Besides, asking for the address of localhost shouldn't need any network traffic, should it? I mean, its written in hosts.

>I mean, its written in hosts.
Then the CGI binary should have enough privileges to read it.

It just came into my mind that other PHP functions will also need to resolve names. So I tried this one:
$a = file_get_contents("http://www.google.de");

This results on PHP-CGI with Apache in:
Warning: file_get_contents() [function.file-get-contents]: php_network_getaddresses: getaddrinfo failed: Der angegebene Host ist unbekannt. in D:\path\file.php

So some Windows-API-function is failing.

Btw, hosts is world readable (I think that's the way it should be, right) on my system so that can hardly be the reason.

Not PHP problem.

Just because some Windows API doesn't return what we want doesn't mean PHP isn't responsible for that. I think it's quite interesting that PHP has it's problems when running as fastCGI under Windows. I just glanced at the source and found some interesting comment:
---
cgi_main.c,L1264: for windows, socket listening is broken in the fastcgi library itself so dissabling this feature on windows till time is available to fix it
---
I'm not sure what exactly was disabled, since fastcgi works so far, but there might be side-effects.
So I think it's worth to take a second look on that error.