Looks like there is a new OpenBSD LiveCD distro called BSDanywhere. Having built both Linux and OpenBSD LiveCD's the latter is a definitely a pain in the ass, although it is possible.
Although I'm not sure *why* you would want to do it, because with the exception of PF there is no reason to actually use a BSD. But it would be cool if someone wrote a nice GNOME based installer for OpenBSD (like Ubuntu) just to piss off the zealots. Oh and throw in a 20th century package management system while you are at it.
(I did actually get dpkg working on OpenBSD 3.9 once, but never got to apt)