Recommended OS: RHEL/CentOS, Debian.
Setup instruction can be found on the tubes. wiki.openvz.org is probably the best source of knowledge. ( CentOS specific instructions can be found at http://wiki.centos.org/HowTos/Virtualization/OpenVZ )
A Complete How-To on managing OpenVZ instances can be found at http://www.lamolabs.org/blog/137/managing-openvz-instances/
finally: openvz rocks !!!