OpenSSL command line app does not display any characters when you are entering your password. Just type it then press enter and you will see that it is working.
You can also use openssl pkcs12 -export -inkey mykey.key -in developer_identity.pem -out iphone_dev.p12 -password pass:YourPassword to pass the password YourPassword from command line. Please take a look at section Pass Phrase Options in OpenSSL manual for more information.