Upgrades generally work well for me, but DO always check the release notes and the upgrade guide for the new version. Sometimes you need to do a few extra steps, but in my experience it will always be clearly documented. And just a heads-up for the NEXT version:

OpenBSD 5.5 will be year 2038 ready, but this requires a change to a 64 bit time type. This results in a "flag day" event, where old binaries will not run on the new kernel, and the new binaries won't run on the old kernel, and some file formats will be changing. A remote, no-console process will be provided, but it will be a more touchy update process than usual.