check_openbgpd needs access to run "bgpctl show", this can be accomplished with a restricted socket set up for bgpd(8).
${SYSCONFDIR}/bgpd.conf:
socket "/var/run/rbgpd.sock" restricted
${SYSCONFDIR}/nrpe.cfg:
command[check_openbgpd]=/usr/local/libexec/nagios/check_openbgpd -s /var/run/rbgpd.sock -w 1000:300000 -c 100:500000 -n peer1 peer2 peer3
For more information on bgpd(8) see the OpenBSD man page.
You can download the current version, but you probably want to install the package.