OpenDNS can be side-stepped rather easily if you have Admin on the laptop. I'm assuming that you're keeping the Admin keys to yourself and configuring the kids' accounts as non-admin users.
Additionally, OpenDNS only works at home. If the laptops leave the house or a neighbor has an open WiFi, it's wide open again.
NetNanny isn't terribly intrusive, it travels with the laptop, and it contains the threat of logging and screen captures. I could never really get these features to work, but its web content filtering is very good.
Even if you have great kids, the web is so tempting and powerful, you should err on the side of too much filtering.