Used OpenX for a few earlier projects. It was a nightmare.
Switched to Atlas (now owned by Microsoft) and it was an equal nightmare.
Finally switched to Google AdManager (which is built on Double Click which Google bought not too far back) and it has been a much better experience. It’s also got a nicer implementation in terms of the code you use to put the ads into the pages.
There’s no (to my knowledge) fully integrated ad system you can use with EE. So with OpenX and Google AdManager and any other system you’ll have a seperate login/password to use on a separate control panel.
But all of the systems are designed to be implementable with pretty much any site.
Jamie