According to the php manual, when php is running as cgi or fastcgi, certain server supplied environmental variables simply are not available. I suspect (though I have not checked the code yet) that the router or dispatcher in ZF relies on one or more of these variables, and that is why my application is not working. If anyone knows a way to get around this issue, please post. Otherwise, I think I will have to rewrite my application without using ZF.
Here is the relevant section of the php manual:
PHP: CGI and command line setups - Manual
Look under user variables.
I will write the people at Zend and let them know about this issue.
Better days,
J.