Legacy? Absolutely. Dead? Well, it's on life support. I doubt it will really "die" in the forseeable future. You might still use CGI to write a very small sort of script if you've got a server with no other means of running a webapp and you're too lazy to configure it up.
What's another reason? Maybe you've got a program that leaks memory or resources like a sieve but you need to run it anyway, so you make sure everything is cleaned up by ending the process every single request...
But seriously, for things that really matter, I think the benefits of moving to any sort of system with persistent processes outweigh the costs by quite a bit. And in my experience, it encourages writing better-organized code as well, because the kind of initialization you need to have a nicely modular application translates to "unacceptable startup time" in a CGI environment.
