> ---> Package nagios.i386 0:2.9-1.el5.rf set to be updated

See how it still has the .el5.rf in there? Yum is still pulling in the
el5 packages. Double check your /etc/yum.repos.d/rpmforge.repo file to
see if it spells out version 5. Also you will likely have to clear the
yum cache. 'yum clean all' should do the trick.

That was it. Thanks. I substituted el5 for el4 in my /etc/yum.repos.d/rpmforge.repo file, ran "yum clean all", and then could run "yum install nagios"

Thanks again for your help, Jim. I sincerely appreciate it.