I just installed OpenBSD for the first time. I know it sounds strange for a BSD geek, but I've mostly installed FreeBSD before, since it's the first UNIX I ever came to know, and that I stuck to thereafter, before getting caught in this Debian madness. The experience I have with OpenBSD is limited to experience on live systems or applications from OpenBSD running on other distributions (OpenSSH, OpenNTP, pf and so on).
I must say that the install procedure is really well made, as is the installer, even if the later is rather crude. Indeed there is no GUI at all, not even a curses interface as in the Debian Installer. This has some real advantages. First, the installer is really robust: you can interrupt it or suspend it and you fall back on a shell. You can restart it from a shell just by typing "install". Second, it requires only a really small bootstrapping image to begin with. I, for example, burned a 4M CD (I know, a waste, I didn't have any business card CD close) with the "cd38.iso" image, and off I went. The image loads the kernel and the install, and you can load the distribution from the network, another CD, or a MSDOS, ext2 or UFS partition.
Not much else to say here apart that I'm glad I made this move and I look forward into experimenting the "OpenBSD desktop", if there's such a thing... Not that I really have the time to do that anyways. Note that I still have my Debian install dual booting, and that one is still my main workstation, but it's handy to have that other really secure and well designed OS on another partition, ready for funky testing.