OEM parts vary depending on what OEM parts you're looking for and planning to buy.
For RAM there's the ones selling from online retailers from companies from Corsair, Mushkin, et al. And then, there are the ones that you see being sold at the nearby computer shops and computer shows. There are also specific grades of RAM like Grade A, etc.
For Vid cards, it could mean different packaging, hardware drivers only, slower RAM, lower RAMDAC, lack of heatsink/fan, and lower core/memory clocks as compared to retail units. For example, 3dfx released V3 "1000s" into the OEM market. These were V3 cards that had core/mem clocks of 123 Mhz, no heatsink, and different PCB layout as compared to the retail versions of the board.
Retail cpus are often the "best cuts of meat" from the Si wafer. They come w/a longer warranty (around 3 years) and come with a company-provided heatsink/fan combo. OEM units come with anywhere from 15-day to 1 year warranty and have no heatsink/fan combo. Of course, if one intends to oc the chip, you can forget about warranty.
OEMs tend to be cheaper in price than their retail brethren. But if I can find a place that sells Retail at very close to OEM prices (say w/in ~2%), I wouldn't hesitate to purchase the Retail. I found this place that sells Retail Celery 566s for $99 US.
I can distinguish no difference between Retail sound cards and their OEM counterparts other than packaging and driver/software bundle. OEM soundcards usually come with a 1-year warranty, but so do some Retail soundcards.
If one has to take in an OEM part for service w/some exception to hdds, they usually have to deal w/the store that they purchased it from. Retail in some instances, the owner has to deal with the company that made the product to obtain an RMA and to ship it out back to them.