BINGO! Got the error.log working and I found something! (But don't know how to fix it)
This is what I found.....
2011/12/28 20:20:51 [error] 19200#0: *9 FastCGI sent in stderr: "PHP Notice: Undefined index: X_SCRIPT_FILENAME in /etc/nginx/cgi-bin.php on line 9
PHP Notice: Undefined index: X_SCRIPT_NAME in /etc/nginx/cgi-bin.php on line 10
PHP Notice: Undefined index: X_SCRIPT_FILENAME in /etc/nginx/cgi-bin.php on line 12" while reading response header from upstream, client: 11.11.1.111, server: mydomain.com, request: "GET /cgi-bin/awstats.pl HTTP/1.1", upstream: "fastcgi://127.0.0.1:49232", host: "mydomain.com"