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The problem is that the GAP interface is not threadsafe -- both threads are accessing the same GAP session. You could use the @parallel decorator and forking (which has a bit of overhead). For example,

def method_1(n):
    import time
    time.sleep(20)
    return 1, Integer(gap(n)*n)

def method_2(n):
    return 2, Integer(gap(n)*n)

def try_fast(n):
    @parallel
    def try_method(method):
        return method(n)

    method_num, result = try_method([method_1, method_2]).next()[1]
    print "Computed by method %s"%method_num
    return result

The result of the (decorated) try_method function is an iterator which will yield the results as soon as they are ready. In this case, we just need the first one.

 sage: %time try_fast(4)
 Killing any remaining workers...
 Computed by method 2
 CPU times: user 0.00 s, sys: 0.02 s, total: 0.02 s
 Wall time: 0.27 s
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