If you have relatively simple CGI scripts on Windows, a tool called "OptiPerl" from Xarka has most of an IDE, plus a mini-webserver that allows you to view the outputs as web pages. I haven't been down the road of reevaluating *nix Perl IDEs lately (although I imagine there are some good plugins for NetBeans and Eclipse by now; I've been sticking to the "Unix IS the IDE" mentality), but I know from working with NetBeans and Eclipse for Java that they do offer something similar.
Once you start getting complicated enough, it makes sense to just to write a script to set up your development environment and require that Apache (or whatever) be a part of that.
Something we often do for testing is set up a single-instance webserver on a nonprivileged port; this is generally enough for day to day, and as long as it's actually CGI and not mod_perl or similar, you can use a very low key webserver. Of course, there's nothing like testing in the exact environment in which you anticipate deployment.
