are you running it under xinetd? what *nix operating system are you using?
if using xinetd, make sure /etc/xinetd.d/nrpe is owned root:root on the remote host
i would start by >not< testing nrpe locally. you're not going to be running nrpe locally.
go to your nagios box and run
/usr/local/nagios/libexec/check_nrpe -H remote.host.ip -c check_command_i_defined_in_nrpe_cfg
nrpe will connect to a remote host, look in /etc/nrpe.cfg (or wherever you have it), look for the "check_command_i_defined_in_nrpe_cfg" and run the script associated with that command, and show you the result.