I find your question a bit confusing. You want OpenBSD (which is not Linux!), but then ask about CentOS,Ubuntu,Fedora.
Apart from that it depends on what you exactly want to do.
I prefer m0n0wall on some of my firewalls at work, because I like the GUI, it's fairly easy to set up, I like the fact that it uses FreeBSD, it works great on Soekris machines, and it does what i want and need.
http://m0n0.ch/wall/
And in m0n0wall I've configured a separate group for two other colleagues to login to the GUI interface just to be able to ping, and see the logfiles, and nothing more, just for troubleshooting, I think that's a cool feature to have build in.
If you want more than m0n0wall offers, then take a look at pfSense :
http://en.wikipedia.org/wiki/PfSense
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