For CPU I always go retail for the 3 year warrenty (OCing voids the warrenty blah blah blah, they can't tell if you did or not anyway so it doesn't matter)
For OS I would go Retail if you are doing Vista. I'm not sure what the rules about switching hardware and reinstalling are with OEM, so unless you get a straight answer on whether or not you can reinstall after swapping out the mobo, processor, or other major hardware I would go retail.
Hard drives OEM all the way. Seagate (maybe others too) have a 5 year warranty on all of their drives.
Optical Drives same, just make sure that the company supports the OEM drive you are purchasing and will be doing firmware updates for it.
Peripherals (Keyboard, possibly mouse?) Go OEM. I have a microsoft natural multimedia keyboard that I got OEM and it cost half of the retail price. Don't know about getting a mouse OEM, never looked, if you find a good one go for it.
Motherboard, Soundcard (if you aren't going onboard), video card, RAM, PSU, are all retail AFAIK and you can't purchase OEM.
As for purchasing the parts the two I deal with most of the time are:
www.newegg.com <-- Very large selection, good prices, best navigation of any site.
www.zipzoomfly.com <-- Good prices, free shipping, smaller selection than newegg
Other places I have purchased parts from are
www.svc.com <-- cables, case moding, cooling, and accessories. Check their Clearance section for some good deals
www.frys.com <-- ok selection, purchased software for a friend from there once.
www.coolerguys.com <-- you guessed it, cooling, case mods, and accessories
www.frozencpu.com <-- more cooling, accessories, and case mods