I have performed a virtualized OpenBSD installation on Mac OS X in order to build a remote install kernel when I didn't have any other computers at my disposal.
VMWare workstation 1 month trial version worked just fine. Sun's (free!) virtualbox offering however had problems with disk io.
Just google "sun virtualbox openbsd error" and you should find some stuff on it.
Otherwise methinks you're looking at paid solutions.
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