As always, make sure to subscribe to the 'ports-security' mailing list, follow the stable ports tress, or at least visit http://www.openbsd.org/pkg-stable.html once in a while to make sure you've got the latest version (i.e. version with the most security issues fixed) of the OpenVPN package installed.
For example, OpenBSD 3.9 shipped with OpenVPN 2.0.5, but later version 2.0.6 came out to address security issues, so a new OpenBSD package for OpenVPN was created and released. By the way, you may see on the OpenVPN website that version 2.0.8 is now out, but bear in mind that 2.0.7 and 2.0.8 only address Windows-centric security issues, so there was no need to release these versions as OpenBSD packages. -Martin -- "Suburbia is where the developer bulldozes out the trees, then names the streets after them." --Bill Vaughan