SBCL is available in the ports tree for OpenBSD/i386 4.4 as well as -current, and may be installed via pkg_add or built via ports as usual.
For those still running earlier OpenBSD/i386 releases, binary packages for 3.9 through 4.3 are 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`/`arch -s`/ pkg_add -i sbcl
Note that the SBCL port is currently i386-only, and will not run under OpenBSD/amd64. I would like to have SBCL running on at least amd64 and powerpc, but there are some memory allocation, GC, and bootstrap issues to resolve first.
I can be reached by email at josh @ this domain.