I have a VMware ESXi server, with various VMs.
I want to clone one of the VMs so I can run it locally on my MacBook (either using Parallels or VMware Player).
Is this possible?
Yes, using vsphere client you can choose File->Export->Export OVF Template
fill in the form and export the files to a local filesystem. This exported appliance should then load into your other virtualisation tools without any really issues. I've done this with CentOS6 (exported) and loaded it into VirtualBox.
You can also use VMWare converter for this purpose. We, however, don't use VMWare converter, we take a mondo backup of the virtual machine and restore it locally, and then use VMWare Workstation or Player to work on this virtual machine. Exporting to OVF template also is one of the solutions as already stated.