Running OpenVPN on Vista, works, but requires some workarounds.
Current list of issues:

• connection gets established, but route addition fails with route addition failed usingCreateIpForwardEntry

Read further for the solutions...

connection gets established, but route addition fails with route addition failed usingCreateIpForwardEntry

This problem always occurs on a Vista. What happens is that while the connection does get established, the routes are not being added properly, because of an API change in Vista.
To circumvent the issue, add this line to your OpenVPN config file:

route-method exe

This way, the route addition is called directly using the commandline utility.