I just stumbled upon GNU myServer and it says it's a multi-threaded server and it looks like the configuration is a bit better than Apache but I'm hestitant to try it. Has anyone used it? What were your experiences with it like?
I haven't heard of it before now, but my knee-jerk reaction is "not another httpd". Apache is the Swiss-Army knife; Nginx is fast, IIS is the MS solution. There are others that fulfill a niche need in certain markets, but many suffer from being ill maintained, and have small followings.
If it works for you, I'm all for it. But if you're starting from scratch, I'd head for one of the big three. They're actively developed and easy to find help.
Some reference: August 2010 Web Server Survey
Looking at the project site it is still immature. It hasn't had a 1.0 release. While I don't have anything against software which hasn't had a 1.0 release, in this case I would skip it. There are a number of programs I use that haven't had a 1.0 release. Many of these are very good, and in my mind rate a 1.0 release.
Given the choice for core services (such as a web server, email server, and other public services), I evaluate a number of factors: