The current port of PHP for OpenBSD still doesn’t ship with the FastCGI version.
This is a shame, especially since modern web servers like Nginx or Lighttpd require the FastCGI version in order to process PHP scripts.
It’s why I’m maintaining an unofficial port with FastCGI support.
Here you can download the PHP with FastCGI port for OpenBSD
It has just been updated for PHP 5.2.1 on OpenBSD-current.