I don't know it from the top of my head, but FreeBSD runs Wine iirc and afaik FreeBSD 11 (I know, not OpenBSD) will introduce bhyve, a hugely hyped hypervisor/virtual machine manager supporting among other things Windows Operating Systems, also there should be some improvements to the Linux Emulation Layer.

Also there is this https://github.com/tony/steam-freebsd-client but not sure how good it works.

This might or might not be of interest to you, since chances are it might I thought I'd share. I don't think FreeBSD is much more secure (if any) than some of the better GNU/Linux distributions though. So it's easier to just run Gentoo or something similar.