[warudemaru]

thanks for your elaborate answer this is what I've just tried:
the PKG_PATH is correct

root:$> echo $PKG_PATH
ftp://ftp.openbsd.org/pub/OpenBSD/5.0/packages/i386/

there is no package bzip2 installed, and installation issues the same collision error as by installing python (not surprisingly). The files look like somekind of orphaned files

root:$> pkg_info -E /usr/local/bin/bzip2
root:$> pkg_info | grep bzip2
root:$> ls -al /usr/local/bin/bz*                            
lrwxr-xr-x  1 root  wheel      5 Nov 16  2010 /usr/local/bin/bzcat -> bzip2
lrwxr-xr-x  1 root  wheel      6 Nov 16  2010 /usr/local/bin/bzcmp -> bzdiff
-r-xr-xr-x  1 root  bin     2128 Aug  9  2010 /usr/local/bin/bzdiff
lrwxr-xr-x  1 root  wheel      6 Nov 16  2010 /usr/local/bin/bzegrep -> bzgrep
lrwxr-xr-x  1 root  wheel      6 Nov 16  2010 /usr/local/bin/bzfgrep -> bzgrep
-r-xr-xr-x  1 root  bin     1677 Aug  9  2010 /usr/local/bin/bzgrep
-r-xr-xr-x  1 root  bin    30452 Aug  9  2010 /usr/local/bin/bzip2
-r-xr-xr-x  1 root  bin    10708 Aug  9  2010 /usr/local/bin/bzip2recover
lrwxr-xr-x  1 root  wheel      6 Nov 16  2010 /usr/local/bin/bzless -> bzmore
-r-xr-xr-x  1 root  bin     1259 Aug  9  2010 /usr/local/bin/bzmore

so it seems like removing all causing problem files and installing bzip2 will solve the problem but now where are these files coming from??