I'd prefer to have the BSD box doing the connection and NAT/firewall than use an ethernet to ADSL modem.
You're in the UK where we use PPPOA. It's much less hassle to get an external ethernet router to do the negotiation with the ISP and just leave it on 24/7 <...> but if you want to use OpenBSD to do all the fancy stuff, then the cheapest that can handle basic routing, bridging and non-nat configurations will do the job.