Mike Willbanks has written up an introductory guide to getting your own Nginx+PHP-FPM (a FastCGI process manager for PHP) server up and running.

[These technologies] offer a great solution for finally getting rid of that old sloppy mod_php in Apache. Do you have the same issue where your apache instances have started to run too large? This might be the time to start to move forward.

He talks about setting up the PHP-FPM instance with a custom compile, adding in an init script (from the fpm branch on the PHP svn), installing Nginx and configuring them both to work together. He also helps you set up a sample site (and virtualhost) that will run the PHP-FPM stuff on each request.