On Windows there's IOCP, on Mac and BSD-derivates there's kqueue, and Linux has epoll, but to a first approximation they all do basically the same thing; instead of giving you a full-sized array of "active or not" results that you have to iterate across to detect activity on each of your sockets (as you get from the standard berkeley sockets 'select' and 'poll' APIs), they only inform you about the sockets that are actually active, so you can spend less CPU time iterating through that big results array.
I can say from personal experience that when you've got a single server process that's monitoring 25,000 sockets on a Pentium Pro 200mhz box, it makes a huge difference!
I'm a little surprised (and maybe skeptical) that it'd make a noticeable difference for the much smaller number of sockets that your average web server would be using, but.. maybe?