I compiled 4.1.1 as a cgi, and whenever i put the path to PHP in #!/path/blah, it'll print out #!/path/blah as the first text of the file, then execute the script. If i take out the #!/path/blah, it will give me the normal cgi 500 error, premature end of script headers. This can be seen at http://students.washington.edu/caetin/blah.cgi , which contains: 

vergil01% cat blah.cgi
#!/nfs/guido01/dw05/d75/caetin/php

<?  phpinfo(); ?>

for example, i also made http://students.washington.edu/caetin/blah2.cgi which doesn't have the shebang. It gives the 500 error. 

Both files are chmod' to 755 as well.