Update (2019-05-06): The Broadcom wireless card in the MacBook Pro works and can be crammed into the Air.
Update (2015-12-04): This document used to be very lengthy as there were many manual steps required to get OpenBSD and Mac OS X working together through Boot Camp Assistant (BCA), which created a hybrid MBR and enabled a legacy BIOS emulation mode which older versions of Windows (and OpenBSD) required. Newer Macbooks stopped supporting older versions of Windows through BCA and now only support Windows 10 since it uses GPT and UEFI. However, now that newer versions of OpenBSD support GPT and UEFI, Boot Camp Assistant is no longer needed at all to boot OpenBSD.
OpenBSD works pretty well on at least the Mid-2011 Macbook Air (A1370, SandyBridge) and Mid-2013 Macbook Air (Haswell). The new KMS code in 5.4 brings up the MBA's eDP display in 1366x768 with backlight