Yes it will indeed. We run FastCGI on all our shared hosting servers. You also would want to run Memcache, APC or xCache as well with it. Backend caching adds little to no benefit as suPHP.
As for adding it, if your on shared hosting, you would need to find a host like us that uses it. Most hosts use suPHP and the handler is server wide. For a VPS or dedi, you'd need to re-compile Apache with Fast-CGI and then change the Apache handler to it.