Note: they explicitly state "only two remote holes...", one of which can be found in this very thread.

Security problems are usually clearly marked in the changelog: http://www.openbsd.org/errata59.html

What really annoys me with OpenBSD is that users are expected to download the CVS source and compile it to fix problems rather than upgrade to a dot-release.

For a normal user that's fine, but if you have a bunch of servers you'll need a sophisticated build/deploy infrastructure to stay updated.