The same difference between a car and a train.
A car (efw) has wheels (OpenVPN).
And a train (CentOS) has wheels too (OpenVPN), but you can't compare them.
You can compare one Firewall with an OS.
Endian is a mid-size enterprise firewall, on top of a Linux OS. CentOS is a Linux OS, just that.
Differences? Firewalling, routing, content-filtering, Proxies for HTTP,POP3, tight OS aimed to security, etc....
I think that OpenVPN community is free for any OS:
http://en.wikipedia.org/wiki/OpenVPN