In this recent post to his blog Johannes Schlüter he talks about a way that he's come up with to test functionality that uses persistent connections (and an module he created to help).
In a few rare cases this is not what people like, for that PHP introduced "persistent connections" of different kinds. Testing those is a bit annoying as you have to configure a webserver and ensure to hit the same instance over the course of a test and then use a load generator, probably one which can detect a failure. Additionally by having a webserver in the game there is more code being executed, which might mean an additional source for trouble while debugging. An alternative might be using FastCGI, while that adds it's own issues for such a test. To solve this for myself I, some time ago, wrote a PHP SAPI module called pconn and pushed it to github.
The extension provides a way to emulate requests by executing a script multiple times automatically, making it easier to test things that require checking against multiple things simultaneously. While the built-in webserver (PHP 5.4) can be used to test some of these things too, Johannes' extension can also be compiled to help with testing of threading in applications as well.