PJIRC has the advantage of being JAVA which most people have, but leaves alot of it's configuration to the client side. trafic does go directly from the client to the destination network, so doesn't put load on your webserver.
CGI:IRC can be bettered controlled because it's configuration is server side, and also requires no 3rd party software on the client. it also runs on your webserver which means your webserver makes the connection to the IRC network, and the client connects (through the regular port 80 web trafic) to your webserver. this often bypasses firewall restrictions on IRC us. downside is all trafic load is on your webserver instead.
I personally prefer CGI:IRC, but PJIRC is good aswell.