Through the ticket (http://bugzilla.maptools.org/show_bug.cgi?id=2313) and on IRC chat we narrowed it down to the GD library: in fact GD was pointing to a non-existent JPEG version, 6b, but MapServer was built against a newer JPEG version, 8b, and JPEG wasn't happy about this. So a patch is now available that upgrades your JPEG library to 8c and contains a rebuilt GD version, pointing to that new JPEG version. Please test it with jpeg output (in any mapfile, specify 'IMAGETYPE image/jpeg' and then test with 'shp2img -o test.jpg'). While you're at it, give it a test in your other favourite output formats as well.
I apologize for any inconvenience. I guess it is a good thing this was discovered in the 6.0 beta phase, before a full MS4W version was released.