I've observed some ... interesting problems with pkg_add(8):

* If any component of /usr/pkg (or the path it tries to install in) is
  a symlink, it just silently fails to do anything -- even though
  /usr/pkg (or the appropriate path) exists.

* If any component of /var/db/pkg (or $PKG_DBDIR) is a symlink, it
  installs the pkg but fails to register it -- even though
  /var/db/pkg (or $PKG_DBDIR) exists.

These problems are both fairly user-hostile, especially the former.