I've found pf to be particularly nice - it's much easier to work with than iptables for me.
Like all the BSDs, it has man pages for everything, which is an extremely nice aspect.
The main thing that I don't like about OpenBSD is the increased update hassle as compared to, for example, Debian.
I'd probably use OpenBSD everywhere if there was some reasonable equivalent of what you'd do on Debian with "aptitude update && aptitude upgrade".
And yeah, best router/firewall OS ever.
I also used it for my mail/web server, and it didn't seem to be the path of least resistance. With Debian, I spent about 10 minutes configuring Apache + fastcgi and exim + spamassassin + clamav. With OpenBSD, I spent days setting it up (I felt like the first person in the world to ever deploy a FastCGI app on OpenBSD), but the result was much more secure. Each web app ran as its own user in a chroot with no view of the shared filesystem beyond /tmp, and the webserver ran as its own user, also in a chroot. Very secure, but still felt flaky to me. My mailserver never worked right. (The "world's most secure operating system" uses sendmail!?)
pf is just wonderful compared to iptables, though, so I would definitely use OpenBSD for anything routing-related. (But Linux has better hardware support, so I am stuck with that for now. Need to get a Soekris router!)
Their FAQ addresses this and says that the Sendmail upstream has been a bit more receptive to security issues than Postfix or others. In addition, they claim that Postfix hasn't been the cleanest in recent years.
A couple of the current firewalls are on Soekris hardware, cheap little boxes that only draw a couple watts -- more at http://slagwerks.com/blog/?s=soekris
(It's also an excellent firewall, server, desktop, ...)
[EDIT: ... for most stuff at least. Ubuntu is shinier, and Linux/Solaris/FreeBSD is better for multithreaded number crunching.]
The best thing about it other than its vaunted security is the absolutely fantastic documentation and predictability. Once you get something, anything working its quite easy to get other pieces to work as well. They all follow the same pattern.