CD keys and licensing are the two noticeable ones.
If you are using a Dell, IBM or Compaq (etc..) copy there will often be quite a few other changes. The OEM cds often contain altered drivers or services. You may also find and $oem$ folder containing apps, drivers and other changes.
If you buy a "boxed" oem copy from newegg for instance the CD keys and licensing will be the only real changes.