It's probably a file access error.
Have you checked if the socket file exists, where it is and if it's readable/writable for the user mysqld runs as? Have you tried to run the mysql client as root and a non-privileged user? If things go smoothly while running as root, but don't when running as a non-privileged user, it's DEFINITELY a file access problem. Otherwise, check the socket path in the file "my.cnf". (it's in /etc IIRC)
Everything seems to run smoothly when you build mysql from source, defining both the mysql user and the socket file when configuring make, and editing my.cnf to point to the socket file. Works for me.
-j