Your first and best line of defense against intruders is to keep your computer software up-to-date. That means that you need to know when to update your system and what to update. An outdated system is a script kiddie's best friend.
OpenBSD project members are continually auditing the system source code, trying to find new ways to break it. Also, because of OpenBSD's reputation as the most secure operating system in the world, people who are not part of the project scour the code looking for errors. (There's nothing like saying "We're the best!" to cause people to try to kick you in the kneecaps.) Occasionally, someone finds an error that can be exploited. The OpenBSD security team maintains a low-traffic mailing list, <security-announce@OpenBSD.org>, and subscribing to it is a very good idea. In the event that a security issue is found it will be posted on this list, along with corrective actions that you need to take to keep the script kiddies out.
It's also a good idea to subscribe to other mailing lists, such as BugTraq, for general announcements about software that can run on OpenBSD.