Thank you all for your answers.
The eBox might not be the best choice as not many people seem to be using it in favor of Alix or Soekris systems.
I plan to connect to the serial port over USB, so I'll search the mailing list for more feedback.
Among possible installation methods on the Alix systems there are :
- flashrd which writes directly to the compact flash
http://www.nmedia.net/flashrd/
- PXE
I found this guide which looks nice :
http://markshroyer.com/guides/router/
I was wondering if this was possible to boot through an OpenBSD USB stick and install from it as I do on my netbook. In other words, if these cards were usb bootable, and if the boot loader was accessible on the console then. But in fact it is not, leaving two ways to install.