I ran into a very similar (maybe same) problem here: http://marc.theaimsgroup.com/?l=openbsd-misc&m=113236417207016&w=2
I have not found a solution to my problem yet unfortunately. One thing I noticed is that my an0 card worked just find in 3.7 and 3.8 broke it, you might want to verify if that is the case with you as well. Another thing I noticed is that the an0 card gets a dhcp address and works properly during the initial install via cd or the ram disk off of a floppy, but stops working upon first reboot. Good luck. Matt