Depends on your web server. AFAIK, nginx uses a combination of events and threads to handle a ginormous number of simultaneous connections.

See:

    http://en.wikipedia.org/wiki/Asynchronous_I/O

    http://www.slideshare.net/joshzhu/nginx-internals
    
    http://www.aosabook.org/en/nginx.html
    
    http://serverfault.com/questions/86674/why-is-nginx-so-fast

Also, Node.js.

Edit: formatting.

Only if your server code process each request in a separate thread. But that's also true, when using web-sockets or when using the GIF approach. When implementing real-time applications, you always have to write non-blocking asynchronous server code, for example using node.js or Twisted.