It's supposed to be simple, and it is simple compared to Apache, but it also has way fewer eyes on it. Ultimately, a big pile of string-handling C is likely to have some problems. There was a trivial-to-exploit server-crashing segfault in httpd's FastCGI implementation that was only fixed in the last month or so. There were also recent issues related to null bytes and line feeds in headers causing strange, exploitable misinterpretations of incoming requests in relayd. Much of this is now fixed, but I wouldn't be at all surprised if there were more low-hanging fruit remaining.
If you're looking for a lightweight HTTP server written in C, I recommend Lighttpd. It's older, more widely-used, and more standards-compliant. I'm not trying to dump on OpenBSD; I run it on my primary laptop. I just wouldn't use their HTTP tools for anything mission-critical yet.