I received one of Think Penguin‘s Wireless N USB Adapters today, and tested it on my main OpenBSD desktop, thagirion. It took a little setup, but it works.
I had to run fw_update(1) to download firmware for the adapter’s Atheros AR9271 chipset while still jacked into my original wired connection (which was only wired to a Linksys wifi repeater). It was also helpful to RTFM for athn(4) and hostname.if(5).
Once I downloaded the firmware and restarted thagirion I confirmed that the adapter was working by running doas ifconfig athn0 scan. ifconfig showed that thagirion was talking to my router and seeing networks.
From here all I had to do was follow the relevant sections of the OpenBSD FAQ.
Think Penguin’s Wireless N USB Adapter is a bit pricy, but worth it if you’ve got a desktop system without compatible built-in wifi.