Did you look at the log file (/usr/local/nagios/var/nagios.log) to see if it shows any errors? I just had an e-mail problem on my installation and looked at the log to fix it. My problem was a little different though because I'm running 3.0.6 and moved from SuSE to Fedora.
Anyway, I found my problem was that it was looking in the wrong directory for the "mail" program. It was looking in /usr/bin/mail, but it should have been looking in /bin/mail instead. I just made a sym link from one to the other and it started working again.
Hope that helps.