The BSDs are awsome. Although they are much more like the commercial Unices than Linux, they do have some unique caveats that are specific to BSD (like the partitioning is a bit confusing). Bascially, OpenBSD uses the same Unix priciples of security that are found in Linux, Solaris, etc and really locks down their default install. They test the code rigerously, and have removed parts and ideas from the traditional Unix scheme that they didn't like. As a result, you basically have a pre-hardened OS that's very simple and easy to keep secure. It runs well on low-end hardware, and has a ports-like system to keep current. Although, with OpenBSD people usually upgrade when they want more features, not because of a vulnerability. That makes Open BSD ideal for routers, web & mail servers.
That being said, I use Linux exclusively, including on my firewall. I've never had a single security breach because I remove features I don't need and lock-down everything I do need.
IPCop makes a great firewall/router, and it's really easy to keep secure because its very simple. It's basically a very minimalistic LFS (Linux From Scratch) rollout, running a hardened kernel, IPtables, and a nice custom encrypted web-interface or SSH for administration. Very nice system, and there are tons of add-on binaries for it which can expand its default capabilities. Of course, it's a standard Linux, so you can add your own Linux binaries and scripts to it as well. If you want to run a BSD on your firewall, you might consider
m0n0wall, which is an embedded-style BSD firewall that can either run from a bootable CD, flash RAM, or from a HDD.
-AT