Retail is for end-users, oem is for system integrators/builders.
End-users don't get direct warranty from the manufacturer for most oem stuff (except bare hard drive, original ATI vga card in bulk pack, etc.).
You pay more for the retail cpu, but the manufacturer has taken user-error into account, so whatever you burn it, damage it during installation, misuse, etc, the manufacturer is happy to give you a new replacement immediately.
Sometimes you can even get retail stuff at lower price than oem from some crazy e-tailers with promotion, coupon, pricematch, price error, etc.