Does it work? The answer is yes! :)
All you have to do is edit the sshd_config file on the OpenBSD machine and set X11Forwarding to yes, then fire up X (I’m using XQuartz 2.3.2 (xorg-server 1.4.2-apple18)) and in an xterm (or Terminal.app!) enter

ssh -Y user@openbsd_machine program

Voila!
P.S.: Actually, you don’t even have to start X on either end of this connection, it will still work. I just tried :)