If there are no initial rules on the firewall, you are actually dropping all traffic, including OSPF:
From Admin Guide: "Until the administrator installs the on the Security Gateway for the first time, security is enforced by an Initial Policy.
The Initial Policy operates by adding the predefined implied rules to the Default Filter policy.
These implied rules forbid most communication, yet allow the communication needed for the installation of the Security Policy. The Initial Policy also protects the Security Gateway during Check Point product upgrades, when a certificate is reset on the Security Gateway, or in the case of a Check Point product license expiration."
To allow OSPF until policy is configured and installed:
Execute "fw unloadlocal" in expert mode on this gateway, IF IT IS NOT in production, to actually remove the default policy.
If you need for routing to work while in wide-open state, execute "echo 1 > /proc/sys/net/ipv4/ip_forward"
That last one is actually courtesy of @Timothy_Hall .
To properly configure your policy for OSPF, see sk39960.