While there are no meta packages available in the OpenBSD repositories, it is possible to get a functioning XFCE4 Desktop with the following

export PKG_PATH=/pub/OpenBSD/4.6/packages//
pkg_add xfce-utils xfce4-panel xfce4-session xfdesktop xfwm4
pkg_add xfwm4-themes gtk-xfce-engine
pkg_add terminal orage notification-daemon-xfce ristretto mousepad xfce4-appfinder xfce4-mixer xfprint

This will give you a basic XFCE4 desktop, with some default themes

You can look in the ports collection for other XFCE4 Apps

cd /usr/ports/x11/xfce4 && make show=COMMENT

or of course, browse the xfce site