The answer to the server question can be a gamble; some servers are better than others; some are better at some times. For the latest list, always let it grab you the current list from the "main" OpenBSD server in Alberta, Canada.

But as of the release of OpenBSD 3.2, this was the list; you may be able to skip downloading the selection by putting in one of these names directly:

ftp://ftp.openbsd.org/pub/OpenBSD			Alberta, Canada
ftp://gulus.usherb.ca/pub/OpenBSD			Sherbrooke, Canada
ftp://gandalf.neark.org/pub/distributions/OpenBSD	Batesville, AR, USA
ftp://ftp5.usa.openbsd.org/pub/OpenBSD			Redwood City, CA, USA
ftp://ftp3.usa.openbsd.org/pub/OpenBSD			Boulder, CO, USA
ftp://mirror.csit.fsu.edu/pub/OpenBSD			Tallahassee, FL, USA
ftp://ftp.src.uchicago.edu/pub/OpenBSD			Chicago, IL, USA
ftp://rt.fm/pub/OpenBSD				Lake in the Hills, IL, USA
ftp://archive.progeny.com/OpenBSD			Indianapolis, IN, USA
ftp://ftp7.usa.openbsd.org/pub/os/OpenBSD		West Lafayette, IN, USA
ftp://mirrors.netnumina.com/openbsd			Cambridge, MA, USA
ftp://ftp.groupbsd.org/pub/OpenBSD			Hillsborough, NC, USA
ftp://ftp.cse.buffalo.edu/pub/OpenBSD			Buffalo, NY, USA
ftp://carroll.cac.psu.edu/pub/OpenBSD			State College, PA, USA
ftp://mirrors.rcn.net/pub/OpenBSD			Fairfax, VA, USA
ftp://openbsd.secsup.org/pub/openbsd			Fairfax, VA, USA
ftp://ftp.tux.org/bsd/openbsd				Springfield, VA, USA
ftp://mirror.cs.wisc.edu/pub/mirrors/OpenBSD		Madison, WI, USA
ftp://ftp.iij.ad.jp/OpenBSD				Tokyo, Japan
ftp://ftp.jp.openbsd.org/pub/OpenBSD			Tokyo, Japan
ftp://ftp.kddlabs.co.jp/OpenBSD				Tokyo, Japan
ftp://ftp.fr.openbsd.org/pub/OpenBSD			Paris, France
ftp://ftp.bsdfr.org/pub/OpenBSD				Paris, France
ftp://ftp.club-internet.fr/pub/OpenBSD			Paris, France
ftp://ftp.de.openbsd.org/pub/unix/OpenBSD		Berlin, Germany
ftp://ftp.freenet.de/pub/ftp.openbsd.org/pub/OpenBSD	Duesseldorf, Germany
ftp://ftp-stud.fht-esslingen.de/pub/OpenBSD		Esslingen, Germany
ftp://pandemonium.tiscali.de/pub/OpenBSD		Frankfurt, Germany
ftp://ftp.leo.org/pub/OpenBSD				Muenchen, Germany
ftp://ftp.uni-stuttgart.de/pub/OpenBSD			Stuttgart, Germany
ftp://ftp.fh-wolfenbuettel.de/pub/os/openbsd	Wolfenbuettel, Germany

ftp://mirror.aarnet.edu.au/pub/OpenBSD			Canberra, Australia
ftp://ftp.it.net.au/mirrors/OpenBSD			Perth, Australia
ftp://ftp.planetmirror.com/pub/OpenBSD			Sydney, Australia
ftp://ftp.wiretapped.net/pub/OpenBSD			Sydney, Australia
ftp://gd.tuwien.ac.at/opsys/OpenBSD			Vienna, Austria
ftp://mingus.wu-wien.ac.at/pub/OpenBSD			Vienna, Austria
ftp://openbsd.rug.ac.be/pub/OpenBSD			Ghent, Belgium
ftp://ftp.openbsd.org.br/pub/OpenBSD			Curitiba, Brasil
ftp://ftp.ca.openbsd.org/pub/OpenBSD			Edmonton, Canada
ftp://ftp.shellhung.org/pub/OpenBSD			Hong Kong, China
ftp://ftp.openbsd.cz/pub/OpenBSD			Czech Republic
ftp://sunsite.dk/mirrors/openbsd			Denmark
ftp://ftp.fi.debian.org/pub/OpenBSD			Finland
ftp://ftp.jyu.fi/pub/OpenBSD				Jyvaskyla, Finland
ftp://filoktitis.noc.uoa.gr/pub/OpenBSD			Athens, Greece
ftp://ftp.physics.auth.gr/pub/mirrors/OpenBSD/OpenBSD	Thessaloniki, Greece
ftp://ftp.duth.gr/pub/OpenBSD				Thrace, Greece
ftp://ftp.fsn.hu/pub/OpenBSD				Hungary
ftp://ftp.esat.net/pub/OpenBSD				Dublin, Ireland
ftp://ftp.openbsd.it/pub/OpenBSD			Napoli, Italy
ftp://ftp.volftp.mondadori.com/mirror/openbsd		Italy
ftp://ftp.netlab.is.tsukuba.ac.jp/pub/os/OpenBSD	Ibaraki, Japan
ftp://ftp.openbsd.lt/pub/OpenBSD			Lithuania
ftp://ftp.nl.uu.net/pub/OpenBSD			Amsterdam, The Netherlands
ftp://ftp.calyx.nl/pub/OpenBSD			Amsterdam, The Netherlands
ftp://ftp.nluug.nl/pub/OpenBSD			Amsterdam, The Netherlands
ftp://ftp.inet.no/pub/OpenBSD				Oslo, Norway
ftp://ftp.uninett.no/pub/OpenBSD			Oslo, Norway
ftp://ftp.sajinet.com.pe/pub/OpenBSD			Peru
ftp://sunsite.icm.edu.pl/pub/OpenBSD			Poland
ftp://ftp.chg.ru/pub/OpenBSD				Chernogolovka, Russia
ftp://ftp.gamma.ru/pub/OpenBSD				Moscow, Russia
ftp://ftp.radio-msu.net/pub/OpenBSD			Moscow, Russia
ftp://ftp.isu.net.sa/pub/mirrors/ftp.openbsd.org/pub/OpenBSD	Saudi Arabia
ftp://ftp.snu.ac.kr/pub/BSD/OpenBSD			Seoul, South Korea
ftp://ftp.rediris.es/mirror/OpenBSD			Madrid, Spain
ftp://ftp.stacken.kth.se/pub/OpenBSD			Stockholm, Sweden
ftp://ftp.sunet.se/pub/OpenBSD				Uppsala, Sweden
ftp://mirror.pudas.net/OpenBSD				Uppsala, Sweden
ftp://sunsite.cnlab-switch.ch/pub/OpenBSD		Zurich, Switzerland
ftp://openbsd.csie.nctu.edu.tw/pub/OpenBSD		Taiwan
ftp://openbsd.nsysu.edu.tw/pub/OpenBSD			Taiwan
ftp://ftp.tku.edu.tw/pub/OpenBSD			TamSui, Taiwan
ftp://ftp.kmitl.ac.th/pub/OpenBSD			Thailand
ftp://ftp.linux.org.tr/OpenBSD				Turkey
ftp://ftp.plig.org/pub/OpenBSD				London, UK
http://mirror.aarnet.edu.au/pub/OpenBSD			Canberra, Australia
http://www.openbsd.aba.net.au/pub/OpenBSD		Melbourne, Australia
http://ftp.planetmirror.com/pub/OpenBSD/		Sydney, Australia
http://the.wiretapped.net/OpenBSD			Sydney, Australia
http://gd.tuwien.ac.at/opsys/OpenBSD			Vienna, Austria
http://openbsd.rug.ac.be/ftp/pub/OpenBSD		Ghent, Belgium
http://www.ualberta.ca/FTP/Mirror/OpenBSD		Edmonton, Canada
http://gulus.usherb.ca/ftp/OpenBSD			Sherbrooke, Canada
http://ftp.fi.debian.org/OpenBSD			Finland
http://ftp.jyu.fi/ftp/pub/OpenBSD			Jyvuskyla, Finland
http://ftp-stud.fht-esslingen.de/pub/OpenBSD		Esslingen, Germany
http://pandemonium.tiscali.de/pub/OpenBSD		Frankfurt, Germany
http://ftp.uni-stuttgart.de/pub/OpenBSD			Stuttgart, Germany
http://ftp.openbsd.it/OpenBSD				Napoli, Italy
http://ftp.sunet.se/pub/OpenBSD				Uppsala, Sweden
http://mirror.pudas.net/OpenBSD				Uppsala, Sweden
http://ftp.tku.edu.tw/pub/OpenBSD			TamSui, Taiwan
http://openbsd.nsysu.edu.tw/pub/OpenBSD			Taiwan
http://gandalf.neark.org/pub/distributions/OpenBSD	Batesville, AR, USA
http://east.dl.sourceforge.net/mirrors/OpenBSD/		Sunnyvale, CA, USA
http://mirror.csit.fsu.edu/pub/OpenBSD			Tallahassee, FL, USA
http://rt.fm/pub/OpenBSD			Lake in the Hills, IL, USA
http://archive.progeny.com/OpenBSD			Indianapolis, IN, USA
http://ftp7.usa.openbsd.org/pub/os/OpenBSD		West Lafayette, IN, USA
http://openbsd.mirrors.netnumina.com			Cambridge, MA, USA
http://carroll.cac.psu.edu/pub/OpenBSD			State College, PA, USA
http://mirrors.rcn.net/pub/OpenBSD			Fairfax, VA, USA
http://openbsd.secsup.org/pub/openbsd			Fairfax, VA, USA
http://www.tux.org/pub/bsd/openbsd			Springfield, VA, USA
http://mirror6.cs.wisc.edu/pub/mirrors/OpenBSD		Madison, WI, USA
ftp://ftp.openbsd.org/pub/OpenBSD			Alberta, Canada
ftp://mirror.aarnet.edu.au/pub/OpenBSD			Canberra, Australia
ftp://ftp.it.net.au/mirrors/OpenBSD			Perth, Australia
ftp://ftp.planetmirror.com/pub/OpenBSD			Sydney, Australia
ftp://ftp.wiretapped.net/pub/OpenBSD			Sydney, Australia
ftp://gd.tuwien.ac.at/opsys/OpenBSD			Vienna, Austria
ftp://mingus.wu-wien.ac.at/pub/OpenBSD			Vienna, Austria
ftp://openbsd.rug.ac.be/pub/OpenBSD			Ghent, Belgium
ftp://ftp.openbsd.org.br/pub/OpenBSD			Curitiba, Brasil
ftp://ftp.ca.openbsd.org/pub/OpenBSD			Edmonton, Canada
ftp://gulus.usherb.ca/pub/OpenBSD			Sherbrooke, Canada
ftp://ftp.shellhung.org/pub/OpenBSD			Hong Kong, China
ftp://ftp.openbsd.cz/pub/OpenBSD			Czech Republic
ftp://sunsite.dk/mirrors/openbsd			Denmark
ftp://ftp.fi.debian.org/pub/OpenBSD			Finland
ftp://ftp.jyu.fi/pub/OpenBSD				Jyvaskyla, Finland
ftp://ftp.fr.openbsd.org/pub/OpenBSD			Paris, France
ftp://ftp.bsdfr.org/pub/OpenBSD				Paris, France
ftp://ftp.club-internet.fr/pub/OpenBSD			Paris, France
ftp://ftp.de.openbsd.org/pub/unix/OpenBSD		Berlin, Germany
ftp://ftp.freenet.de/pub/ftp.openbsd.org/pub/OpenBSD	Duesseldorf, Germany
ftp://ftp-stud.fht-esslingen.de/pub/OpenBSD		Esslingen, Germany
ftp://pandemonium.tiscali.de/pub/OpenBSD		Frankfurt, Germany
ftp://ftp.leo.org/pub/OpenBSD				Muenchen, Germany
ftp://ftp.uni-stuttgart.de/pub/OpenBSD			Stuttgart, Germany
ftp://ftp.fh-wolfenbuettel.de/pub/os/openbsd	Wolfenbuettel, Germany
ftp://filoktitis.noc.uoa.gr/pub/OpenBSD			Athens, Greece
ftp://ftp.physics.auth.gr/pub/mirrors/OpenBSD/OpenBSD	Thessaloniki, Greece
ftp://ftp.duth.gr/pub/OpenBSD				Thrace, Greece
ftp://ftp.fsn.hu/pub/OpenBSD				Hungary
ftp://ftp.esat.net/pub/OpenBSD				Dublin, Ireland
ftp://ftp.openbsd.it/pub/OpenBSD			Napoli, Italy
ftp://ftp.volftp.mondadori.com/mirror/openbsd		Italy
ftp://ftp.netlab.is.tsukuba.ac.jp/pub/os/OpenBSD	Ibaraki, Japan
ftp://ftp.iij.ad.jp/OpenBSD				Tokyo, Japan
ftp://ftp.jp.openbsd.org/pub/OpenBSD			Tokyo, Japan
ftp://ftp.kddlabs.co.jp/OpenBSD				Tokyo, Japan
ftp://ftp.openbsd.lt/pub/OpenBSD			Lithuania
ftp://ftp.nl.uu.net/pub/OpenBSD			Amsterdam, The Netherlands
ftp://ftp.calyx.nl/pub/OpenBSD			Amsterdam, The Netherlands
ftp://ftp.nluug.nl/pub/OpenBSD			Amsterdam, The Netherlands
ftp://ftp.inet.no/pub/OpenBSD				Oslo, Norway
ftp://ftp.uninett.no/pub/OpenBSD			Oslo, Norway
ftp://ftp.sajinet.com.pe/pub/OpenBSD			Peru
ftp://sunsite.icm.edu.pl/pub/OpenBSD			Poland
ftp://ftp.chg.ru/pub/OpenBSD				Chernogolovka, Russia
ftp://ftp.gamma.ru/pub/OpenBSD				Moscow, Russia
ftp://ftp.radio-msu.net/pub/OpenBSD			Moscow, Russia
ftp://ftp.isu.net.sa/pub/mirrors/ftp.openbsd.org/pub/OpenBSD	Saudi Arabia
ftp://ftp.snu.ac.kr/pub/BSD/OpenBSD			Seoul, South Korea
ftp://ftp.rediris.es/mirror/OpenBSD			Madrid, Spain
ftp://ftp.stacken.kth.se/pub/OpenBSD			Stockholm, Sweden
ftp://ftp.sunet.se/pub/OpenBSD				Uppsala, Sweden
ftp://mirror.pudas.net/OpenBSD				Uppsala, Sweden
ftp://sunsite.cnlab-switch.ch/pub/OpenBSD		Zurich, Switzerland
ftp://openbsd.csie.nctu.edu.tw/pub/OpenBSD		Taiwan
ftp://openbsd.nsysu.edu.tw/pub/OpenBSD			Taiwan
ftp://ftp.tku.edu.tw/pub/OpenBSD			TamSui, Taiwan
ftp://ftp.kmitl.ac.th/pub/OpenBSD			Thailand
ftp://ftp.linux.org.tr/OpenBSD				Turkey
ftp://ftp.plig.org/pub/OpenBSD				London, UK
ftp://gandalf.neark.org/pub/distributions/OpenBSD	Batesville, AR, USA
ftp://ftp5.usa.openbsd.org/pub/OpenBSD			Redwood City, CA, USA
ftp://ftp3.usa.openbsd.org/pub/OpenBSD			Boulder, CO, USA
ftp://mirror.csit.fsu.edu/pub/OpenBSD			Tallahassee, FL, USA
ftp://ftp.src.uchicago.edu/pub/OpenBSD			Chicago, IL, USA
ftp://rt.fm/pub/OpenBSD				Lake in the Hills, IL, USA
ftp://archive.progeny.com/OpenBSD			Indianapolis, IN, USA
ftp://ftp7.usa.openbsd.org/pub/os/OpenBSD		West Lafayette, IN, USA
ftp://mirrors.netnumina.com/openbsd			Cambridge, MA, USA
ftp://ftp.groupbsd.org/pub/OpenBSD			Hillsborough, NC, USA
ftp://ftp.cse.buffalo.edu/pub/OpenBSD			Buffalo, NY, USA
ftp://carroll.cac.psu.edu/pub/OpenBSD			State College, PA, USA
ftp://mirrors.rcn.net/pub/OpenBSD			Fairfax, VA, USA
ftp://openbsd.secsup.org/pub/openbsd			Fairfax, VA, USA
ftp://ftp.tux.org/bsd/openbsd				Springfield, VA, USA
ftp://mirror.cs.wisc.edu/pub/mirrors/OpenBSD		Madison, WI, USA
http://mirror.aarnet.edu.au/pub/OpenBSD			Canberra, Australia
http://www.openbsd.aba.net.au/pub/OpenBSD		Melbourne, Australia
http://ftp.planetmirror.com/pub/OpenBSD/		Sydney, Australia
http://the.wiretapped.net/OpenBSD			Sydney, Australia
http://gd.tuwien.ac.at/opsys/OpenBSD			Vienna, Austria
http://openbsd.rug.ac.be/ftp/pub/OpenBSD		Ghent, Belgium
http://www.ualberta.ca/FTP/Mirror/OpenBSD		Edmonton, Canada
http://gulus.usherb.ca/ftp/OpenBSD			Sherbrooke, Canada
http://ftp.fi.debian.org/OpenBSD			Finland
http://ftp.jyu.fi/ftp/pub/OpenBSD			Jyvuskyla, Finland
http://ftp-stud.fht-esslingen.de/pub/OpenBSD		Esslingen, Germany
http://pandemonium.tiscali.de/pub/OpenBSD		Frankfurt, Germany
http://ftp.uni-stuttgart.de/pub/OpenBSD			Stuttgart, Germany
http://ftp.openbsd.it/OpenBSD				Napoli, Italy
http://ftp.sunet.se/pub/OpenBSD				Uppsala, Sweden
http://mirror.pudas.net/OpenBSD				Uppsala, Sweden
http://ftp.tku.edu.tw/pub/OpenBSD			TamSui, Taiwan
http://openbsd.nsysu.edu.tw/pub/OpenBSD			Taiwan
http://gandalf.neark.org/pub/distributions/OpenBSD	Batesville, AR, USA
http://east.dl.sourceforge.net/mirrors/OpenBSD/		Sunnyvale, CA, USA
http://mirror.csit.fsu.edu/pub/OpenBSD			Tallahassee, FL, USA
http://rt.fm/pub/OpenBSD			Lake in the Hills, IL, USA
http://archive.progeny.com/OpenBSD			Indianapolis, IN, USA
http://ftp7.usa.openbsd.org/pub/os/OpenBSD		West Lafayette, IN, USA
http://openbsd.mirrors.netnumina.com			Cambridge, MA, USA
http://carroll.cac.psu.edu/pub/OpenBSD			State College, PA, USA
http://mirrors.rcn.net/pub/OpenBSD			Fairfax, VA, USA
http://openbsd.secsup.org/pub/openbsd			Fairfax, VA, USA
http://www.tux.org/pub/bsd/openbsd			Springfield, VA, USA
http://mirror6.cs.wisc.edu/pub/mirrors/OpenBSD		Madison, WI, USA