I checked McClim and Flexichain out of CVS, used ASDF to load them, and then tried to run the address-book demo but it did not work for me.  I've tried searching the web for a FAQ about this but haven't been able to find anything.  I did start looking through the mailing list archives but without a search option I have only found a suggestion to make sure that DISPLAY is set.

CLIM-DEMO> (sys:getenv "DISPLAY")
":0.0"
CLIM-DEMO> (run-frame-top-level (make-application-frame 'address-book))
; Evaluation aborted
CLIM-DEMO> (lisp-implementation-type)
"International Allegro CL Professional Edition"
CLIM-DEMO> (lisp-implementation-version)
"8.0 [Mac OS X] (Nov 11, 2006 22:53)"
CLIM-DEMO> (software-type)
"Apple Mac OS X 10.4"
CLIM-DEMO> (software-version)
"Darwin Damien-Kicks-Computer.local 8.8.0 Darwin Kernel Version 8.8.0: Fri Sep  8 17:18:57 PDT 2006; root:xnu-792.12.6.obj~1/RELEASE_PPC Power Macintosh powerpc"
CLIM-DEMO> 

And here is the stack trace

Connection failure to X11.0 server  display 0: No protocol specified

   [Condition of type XLIB:CONNECTION-FAILURE]

Restarts:
  0: [ABORT-REQUEST] Abort handling SLIME request.
  1: [ABORT] Abort entirely from this (lisp) process.

Backtrace:
  0: (SWANK::DEBUG-IN-EMACS #<XLIB:CONNECTION-FAILURE @ #x11accd5a>)
  1: (SWANK:SWANK-DEBUGGER-HOOK #<XLIB:CONNECTION-FAILURE @ #x11accd5a> #<Function SWANK-DEBUGGER-HOOK>)
  2: (ERROR XLIB:CONNECTION-FAILURE :MAJOR-VERSION 11 :MINOR-VERSION 0 :HOST "" :DISPLAY 0 ...)
  3: (XLIB::X-ERROR XLIB:CONNECTION-FAILURE :MAJOR-VERSION 11 :MINOR-VERSION 0 :HOST "" :DISPLAY 0 ...)
  4: (XLIB::DISPLAY-CONNECT #<XLIB:DISPLAY :0 ( R0)> :AUTHORIZATION-NAME NIL :AUTHORIZATION-DATA NIL)
  5: (XLIB:OPEN-DISPLAY "" :DISPLAY 0 :PROTOCOL :LOCAL)
  6: ((METHOD CLIM-CLX::INITIALIZE-CLX (CLIM-CLX::CLX-PORT)) #<CLIM-CLX::CLX-PORT  @ #x11ac3b6a>)
  7: ((METHOD INITIALIZE-INSTANCE :AFTER (CLIM-CLX::CLX-PORT)) #1=#<CLIM-CLX::CLX-PORT  @ #x11ac3b6a> . #1#)
  8: ((:INTERNAL (:EFFECTIVE-METHOD 1 T NIL NIL NIL) 0) #1=#<CLIM-CLX::CLX-PORT  @ #x11ac3b6a> . #1#)
  9: ((METHOD MAKE-INSTANCE (CLASS)) #<STANDARD-CLASS CLIM-CLX::CLX-PORT> :SERVER-PATH (:CLX :HOST "" :DISPLAY-ID 0 :SCREEN-ID 0 :PROTOCOL :LOCAL))
10: ((METHOD MAKE-INSTANCE (SYMBOL)) CLIM-CLX::CLX-PORT :SERVER-PATH (:CLX :HOST "" :DISPLAY-ID 0 :SCREEN-ID 0 :PROTOCOL :LOCAL))
11: (FIND-PORT)
12: (FIND-FRAME-MANAGER)
13: ((METHOD RUN-FRAME-TOP-LEVEL :AROUND (APPLICATION-FRAME)) #<ADDRESS-BOOK @ #x11ac356a>)
14: ((:INTERNAL (:EFFECTIVE-METHOD 1 T NIL T T) 0) #<ADDRESS-BOOK @ #x11ac356a> . #<non-lisp object @ #x1>)
15: (EVAL (RUN-FRAME-TOP-LEVEL (MAKE-APPLICATION-FRAME (QUOTE ADDRESS-BOOK))))
16: (SWANK::EVAL-REGION "(run-frame-top-level (make-application-frame 'address-book))
" T)
17: ((:INTERNAL SWANK:LISTENER-EVAL 0))
18: ((METHOD SWANK-BACKEND:CALL-WITH-SYNTAX-HOOKS (T)) #<Closure (:INTERNAL SWANK:LISTENER-EVAL 0) @ #x11ac344a>)
19: (SWANK::CALL-WITH-BUFFER-SYNTAX #<Closure (:INTERNAL SWANK:LISTENER-EVAL 0) @ #x11ac344a>)
20: (SWANK:LISTENER-EVAL "(run-frame-top-level (make-application-frame 'address-book))
")
21: (EVAL (SWANK:LISTENER-EVAL "(run-frame-top-level (make-application-frame 'address-book))
"))
22: ((:INTERNAL SWANK::EVAL-FOR-EMACS 0))
23: ((METHOD SWANK-BACKEND:CALL-WITH-DEBUGGER-HOOK (T T)) #<Function SWANK-DEBUGGER-HOOK> #<Closure (:INTERNAL SWANK::EVAL-FOR-EMACS 0) @ #x11ac342a>)
24: (SWANK::EVAL-FOR-EMACS (SWANK:LISTENER-EVAL "(run-frame-top-level (make-application-frame 'address-book))
") "CLIM-DEMO" 77)
25: (FUNCALL SWANK::EVAL-FOR-EMACS (SWANK:LISTENER-EVAL "(run-frame-top-level (make-application-frame 'address-book))
") "CLIM-DEMO" 77)
26: (SWANK::READ-FROM-EMACS)
27: ((:INTERNAL SWANK::HANDLE-REQUEST 0))
28: ((METHOD SWANK-BACKEND:CALL-WITH-DEBUGGER-HOOK (T T)) #<Function SWANK-DEBUGGER-HOOK> #<Function (:INTERNAL SWANK::HANDLE-REQUEST 0)>)
29: ((:INTERNAL SWANK::CALL-WITH-CONNECTION 0))
30: (SWANK::CALL-WITH-REDIRECTED-IO #<SWANK::CONNECTION @ #x107142ca> #<Closure (:INTERNAL SWANK::CALL-WITH-CONNECTION 0) @ #x11ac27ca>)
31: (SWANK::MAYBE-CALL-WITH-IO-REDIRECTION #<SWANK::CONNECTION @ #x107142ca> #<Closure (:INTERNAL SWANK::CALL-WITH-CONNECTION 0) @ #x11ac27ca>)
32: (SWANK::CALL-WITH-CONNECTION #<SWANK::CONNECTION @ #x107142ca> #<Function (:INTERNAL SWANK::HANDLE-REQUEST 0)>)
33: (SWANK::HANDLE-REQUEST #<SWANK::CONNECTION @ #x107142ca>)
34: ((:INTERNAL SWANK::REPL-LOOP 0))
35: ((METHOD SWANK-BACKEND:CALL-WITH-DEBUGGER-HOOK (T T)) #<Function SWANK-DEBUGGER-HOOK @ #x106bd8d2> #<Closure (:INTERNAL SWANK::REPL-LOOP 0) @ #x10715332>)
36: ((:INTERNAL SWANK::CALL-WITH-CONNECTION 0))
37: (SWANK::CALL-WITH-REDIRECTED-IO #<SWANK::CONNECTION @ #x107142ca> #<Closure (:INTERNAL SWANK::CALL-WITH-CONNECTION 0) @ #x10715352>)
38: (SWANK::MAYBE-CALL-WITH-IO-REDIRECTION #<SWANK::CONNECTION @ #x107142ca> #<Closure (:INTERNAL SWANK::CALL-WITH-CONNECTION 0) @ #x10715352>)
39: (SWANK::CALL-WITH-CONNECTION #<SWANK::CONNECTION @ #x107142ca> #<Closure (:INTERNAL SWANK::REPL-LOOP 0) @ #x10715332>)
40: (SWANK::REPL-LOOP #<SWANK::CONNECTION @ #x107142ca>)
41: ((:INTERNAL (:INTERNAL SWANK::SPAWN-REPL-THREAD 0) 0))
42: (SWANK::CALL-WITH-BINDINGS NIL #<Closure (:INTERNAL (:INTERNAL SWANK::SPAWN-REPL-THREAD 0) 0) @ #x1071538a>)
43: ((:INTERNAL SWANK::SPAWN-REPL-THREAD 0))

For what it's worth, I get the same error message when attempting to run the demo without SLIME, i.e. just starting Allegro in an xterm.  Any ideas as to what is going wrong?