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For very simple plugins, it doesn't matter. For anything a little more complicated, it's easiest to write in a language with a Nagios plugin library available. Right now that pretty much limits your choices to Perl or Python. The official plugins are mostly written in C, but unfortunately none of the support functions you might want to take advantage of are split into a separate library.
I've also been working on library for the Go programming language here (although I haven't pushed my latest changes online yet... I need to get around to that). I think Go is an interesting choice for plugin development since it occupies a niche right between C and scripting languages in terms of efficiency and ease of development.