Umm, you would be pinging yourself if you'd use 127.0.0.1.

NMAP can tell you whether the host is firewalled or is actually down. It can perform other tasks as well, such as OS fingerprinting(if that is something that would be interesting for you to know about the host.) -NeuTron
Yeah, but they wouldn't be using ping. It would be using something more stealthy such as syn, followed by a reset when the host initiates the 3 way handshake.