SBCL is available in the packages and ports system on i386 as of 4.4 and on amd64 in -current .
For those still running earlier OpenBSD releases, some binary packages hosted here. Package tarballs are in the pkg subdirectory and may be downloaded by hand or installed directly by pkg_add like so:
env PKG_PATH=http://www.elsasser.org/openbsd/pkg/`uname -r`/`machine -a`/ pkg_add -i sbcl
Note that the SBCL port is currently available on amd64 and i386 only, and lacks thread support. This means that it cannot be used to run software which requires threads, such as Hunchentoot. It may be possible to run such software using ECL.
I can be reached by email at joshua @ this domain.