For a firewall/router I use Ubuntu - it's what I use for everything else, so it's comfy.
I do believe OpenBSD is very very good software, but I do wonder if just given it's small install base if there are vulnerabilities simply nobody knows about. I guess may it doesn't matter since Linux is so much more widely deployed, perhaps that's just a better platform for hackers to spend their time.
OpenBSD exploits (defined as bugs in both OS and typically-deployed applications on top of it) are (or used to be) low-value but scarce and hence prestigious.
Linux exploits can be extremely valuable in monetary terms, but the attack surface is so absurdly vast these days, that they are seen as banal.