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.