For a short description of what w3m local CGI scripts can do:
* They can be used for implementing a man page viewer, as in w3mman. It seems Dillo has a similar plugin[1].
* w3m's bookmark system is implemented using local CGI; it seems Dillo's bookmarks are implemented as a dpi plugin too.
* w3m can use urimethodmap + local CGI to implement additional protocols. I guess DPI can do that too? (At least the custom man: scheme in dillo-plugin-man seems to indicate it can.)
I had no idea any browser supported this besides w3m. I mostly imitated w3m's design in my own project (which includes the twist that support for every protocol, including HTTP, is implemented on top of a similar plugin system); I guess I have a second reference point now :)