It's not hugely difficult to build PHP for the chumby, although it looks like the standard PHP source distribution really isn't properly built for cross-compilation.
From Chumby Industries' "teach-a-man-to-fish-department":
Basically, put together an ARM9 toolchain as shown on the wiki, download and unpack the source to PHP from php.net, then
# ./configure --disable-all --build=i386-linux --host=arm-linux --prefix=/usr/arm-linux --enable-fastcgi --enable-discard-path --enable-force-cgi-redirect
It appears their configuration doesn't actually target the architecture correctly, so you'll have to edit the MakeFile to set CC to "arm-linux-gcc" instead of just "gcc"
Then:
# make
# sudo make install
At this point, you should have the PHP binaries sitting at /usr/arm-linux/bin. First thing to do is strip them to make them smaller:
arm-linux-strip /usr/arm-linux/bin/php /usr/arm-linux/php-cgi
They should end up a little over 2MB.
You'd then copy the php-cgi binary to a dongle, then edit the lighttpd.conf file per the instructions on the page you linked to let lighty know where the php-cgi binary is located.
Note that this builds a very basic PHP with no optional modules - if you want them, you'll need to build their library dependencies separately for ARM (libxml2 being the most necessary) and then reconfigure and rebuild PHP with each of the modules enabled and disabled as you wish.
Here's what I get on my chumby:
chumby:/mnt/usb# ./php -v
PHP 5.2.5 (cli) (built: Dec 18 2007 14:43:07)
Copyright (c) 1997-2007 The PHP Group
Zend Engine v2.2.0, Copyright (c) 1998-2007 Zend Technologies
chumby:/mnt/usb# ./php-cgi -v
PHP 5.2.5 (cgi-fcgi) (built: Dec 18 2007 14:42:53)
Copyright (c) 1997-2007 The PHP Group
Zend Engine v2.2.0, Copyright (c) 1998-2007 Zend Technologies
chumby:/mnt/usb#